Nelson was born in Tulsa, Oklahoma, the son of Ruth (Kaiser) Nelson, who is a noted social activist and philanthropist in Tulsa, and Don Nelson, a geologist/wildcatter. His uncle is businessman George Kaiser. Nelson is Jewish.
His maternal grandparents, who were from Germany, escaped the Nazis shortly before World War II, moving to Britain in 1938 and immigrating to the United States in 1941. His father's family were Russian Jewish emigrants.
Nelson attended the Oklahoma Summer Arts Institute at Quartz Mountain Resort Arts and Conference Center in Lone Wolf, Oklahoma. He is a 1982 graduate of Holland Hall School in Tulsa, and a graduate of Brown University, where he was a Classics major as well as Senior Orator for his class of 1986. Additionally, Nelson is a member of the Phi Beta Kappa Society. Nelson won the Workman/Driskoll award for excellence in Classical Studies. He graduated from Juilliard in 1990, a member of Group 19.
Nelson's debut play, Eye of God, was produced at Seattle Repertory Theatre in 1992. The Grey Zone premiered at MCC Theater in New York in 1996, where his 1998 work Anadarko was produced. He was a co-star of the sketch comedy show The Unnaturals, which ran on HA! (later CTV, and would turn into Comedy Central) between 1989 and 1991, alongside Paul Zaloom, John Mariano and Siobhan Fallon Hogan.
Nelson has appeared as an actor in film, TV and theatre. He had a featured role as Delmar in the film O Brother, Where Art Thou?. According to directors Joel and Ethan Coen, he was the only one in the cast or crew who had read Homer's Odyssey, a story upon which the film is loosely based. He was cast as the lead for his knowledge of the Greek Mythology. He sings "In the Jailhouse Now" on the film's soundtrack (which received a Grammy for Album of the Year in 2001). He played Samuel Sterns in the 2008 film The Incredible Hulk.
He also narrates the 2001 audiobook At the Altar of Speed: The Fast Life and Tragic Death of Dale Earnhardt, Sr.. He appeared on stage extensively off-Broadway in New York at theatres including Manhattan Theater Club, Playwrights Horizons, Manhattan Class Company, Soho Repertory Theater, New York Theater Workshop, and Central Park's Open Air Theater in the Shakespeare plays Richard III, Troilus and Cressida, and A Midsummer Night's Dream.
He has directed film versions of his plays The Grey Zone and Eye of God (for which he received an Independent Spirit Awards nomination for the Someone to Watch Award), as well as writing and directing two original screenplays: 1998's Kansas and Leaves of Grass which was released in 2009. He also directed the film O, based on Othello and set in a modern-day high school.
As a film director, Nelson has received numerous awards, including, for Eye of God, the Tokyo Bronze Prize at the Tokyo International Film Festival (1997) and the American Independent Award at the Seattle International Film Festival (1997); for O, the Best Director Award at the Seattle International Film Festival (2001); and for The Grey Zone, the National Board of Review's Freedom of Expression Award (2002). He is on the Board of Directors for The Actors Center in New York City, as well as Soho Rep Theatre.
Nelson guest-starred on the CSI: Crime Scene Investigation season 10 episode "Working Stiffs". In the episode " "My Brother's Bomber" (aired September 29, 2015) of the PBS investigative series Frontline, Nelson spoke movingly of the loss of his friend David Dornstein in the 1988 bombing of Pan Am Flight 103 over Lockerbie, Scotland.
Nelson currently resides in New York City with his wife, Lisa Benavides, and their three sons. On May 8, 2009, he was inducted as an honorary member of the University of Tulsa's Beta of Oklahoma chapter of the Phi Beta Kappa national collegiate honor society.Eye of God (1997)
The Grey Zone (2001)
Haskett's Chance (2006) (TV)
Leaves of Grass (2009)