Kit Carson wrote on 26th December 1999 in his column for the Official Peterborough United website that "Danish Under 21 goalkeeper, Jimmy Nielsen, is currently with AB in Denmark after initially being considered as the successor to Peter Schmeichel at Old Trafford, but he declined their interest. He was with me at Norwich City and in the same squad was Mark Tyler." Speculation had it that Jimmy will join Italian side Brescia for £1.3million at the end of the 1999/2000 season. Jimmy has also spent time with Millwall (1995/96)

Jimmy served Aab for many years but became embroiled in a agambling scandal that hit the headlines of Denmark's newspapers. Along with teammate David Nielsen, he accumulated debts of £160,000. So big was the pair's level of credit with the Aalborg bookies, the shop was forced to close for three weeks until the outstanding debts were cleared.

It was claimed the two players' interest in betting on football doubles (predicting the full-time scores of two games) were behind the shop's closure, and the board of directors at Aalborg decided to name and shame the pair, as well as setting up counselling sessions on gambling problems. The club stressed that they had not done anything illegal but that counselling sessions would be provided to help identify any gambling addictions. With the club fifth in the table at the time that the news broke, their Director of Sport Lynge Jacobsen said he was more than happy with the pair's efforts on the pitch. "Both of them have performed well and I do not believe that their playing has been detrimentally affected," said Jacobsen.

In November 2004, Jimmy was linked with a move to Leicester City but it fell through. "Over time, I have started to doubt that the interest shown by Leicester is serious enough to warrant me spending time and energy going over for a trial" he said after new Leicester manager Cragi Levein signed Stuart Taylor on loan from Arsenal. Instead he joined QPR on trial in mid-November 2004. "I will be training with the goalkeeping coach on Friday and might play a match for them, but that is not decided yet" said Nielsen

Nielsen returned with Aalborg until 4th June 2007 when he became one of new Leicester manager Martin Allen's first signings - Jimmy signing a two year deal. However, he was left in the reserve squad following the arrival of Hungarian goalkeeper Márton Fülöp. He left the club on January 22nd, 2008 having his contract terminated by mutual consent without ever having played for the club. The next day he signed a 2½-year contract with Danish team Vejle Boldklub.

He signed in 2010 for American MLS side Sporting Kansas City and has been the starting goalkeeper since, becoming captain in 2012. On 8th December 2013, Sporting Kansas City won the MLS Cup beating Real Salt Lake 7-6 on penalties.

Two days after their MLS Cup win, Nielsen announced his retirement.

in December 2013, it was announced that Nielsen was the new head coach of the Oklahoma City Enrgy FC who play in the USL Pro League. He moved to Hartford Athletic of the United Soccer League as head coach in 2019. They parted ways at the end of the 2019 season.

On 13th January 2022 he joined the technical staff of Houston Dynamo who play in Major League Soccer.