Nilsson was born in Karlstad, Sweden. He turned professional in 1999 with a plus 3 handicap. Nilsson played on the Challenge Tour full time since 2004, playing few events before then. His first event on the European Tour was the 2005 Open Championship where he missed the cut. His first full season on the European Tour was 2006, and his second in 2007. In 2008 he played on both the Challenge and European Tours with his best finish a runner-up to David Dixon at the Saint-Omer Open, but he did not break through until 2009 at the same event. At the 2009 Saint-Omer Open in June, a week opposite the U.S. Open, Nilsson won his first European Tour event by 6 strokes over Portugal's José-Filipe Lima. The win was Nilsson's first professional win on a recognized major golf tour.