After leaving school in 1985 Nielsen trained as a police officer but resigned after 11 months. He then worked as a truck driver for a Formula One catering company. In 1986, he joined Team Lotus' test team, before running their spare parts department. In 1991, he moved to Tyrrell in the same role before being appointed assistant team manager in 1994. In the next five years he moved to Benetton, back to Tyrrell, to Honda, then Arrows, before moving back to Benetton, where he spent almost a decade as Sporting Director, including the team's transitions to Renault F1 and Lotus Renault GP.
After spending 2012 as Sporting Director at Caterham, Nielsen joined Scuderia Toro Rosso at the start of the 2013 season. He joined Williams as Sporting Manager in December 2014  and worked in that role until leaving in July 2017.
On 1 August 2017 he started in a new position as the Sporting Director of Formula One.
- "Our People > Steve Nielsen". Williams Martini Racing. Williams Grand Prix Engineering Limited. Retrieved 1 July 2017.
- "Steve Nielsen". GrandPrix.com. Retrieved 12 January 2014.
- "F1 : Caterham Formula 1 team sporting director Steve Nielsen moves over to STR". F1SA. 17 January 2013. Retrieved 12 January 2014.
- "Steve Nielsen Appointed as Sporting Manager". Williams Martini Racing. 15 December 2014. Archived from the original on 17 December 2014. Retrieved 17 December 2014.
- Esler, William (15 December 2014). "Steve Nielsen has been appointed Sporting Manager at Williams". Sky Sports. Sky UK Limited. Retrieved 1 July 2017.
- "Williams Martini Racing Appoints Dave Redding as Team Manager". Williams Martini Racing. Williams Grand Prix Engineering Limited. Retrieved 1 July 2017.
- "Steve Nielsen appointed Sporting Director at Formula 1". formula1.com. Retrieved 16 January 2018.