The peloton kept close to the breakaway group in the second longest stage of the Tour, from Requena to Gandia, so leader Nairo Quintana maintained his 3:37 lead over nearest challenger Chris Froome before Friday's individual time trial.
Friday's 37km time trial represents Froome's best chance of making up time on favourite Quintana, although his hopes of wresting the red jersey from the Colombian have diminished since he finished 2:37 behind him in stage 15.
The 23-year-old Nielsen held off attempted surges from German Nikias Arndt and Frenchman Jean Pierre Drucker to edge over the finish line for his ORICA BikeExchange team.
"It's a really big dream come true, its fantastic," Nielsen told reporters
"Our main goal is to have our eyes on our General Classification guys but every now and then we try (to win a stage) and it was fantastic. I gave it a go and it was amazing.
"It's my first Grand Tour ever, so three wins and our guys are high up in the GC, so its a nice team to be in."
The Tour finishes on Sunday in Madrid.
(Reporting by Richard Martin; editing by Clare Lovell)
