He was educated at Harrow and then in 1882 to the Royal Military College at Sandhurst.
He was commissioned in 7th Hussars in February 1884 and in 1886 he spent eight years in India with his regiment before in 1894 being sent to Natal. The 7th Hussars joined a force at Mafeking to suppress a native rising in Matabeleland. During these operations he raised and commanded a Corps of British South Africa Police (BSAP).
He became Commandant-General of the BSAP and Inspector-General of Volunteers in Rhodesia from 1898 until 1903.
In 1903 he succeeded Baden-Powell as Inspector-General of South African Constabulary and retired from the post as a Colonel in 1907. He lost by 426 votes to Captain Guest but after a petition Guest was unseated.
Nicholson stood again as a Conservative candidate in a by-election against Guests brother Henry Guest but was defeated again by a small margin. In the second general election of 1910 in December, he tried to get elected at Stafford but was defeated by 755 votes.
During the First World War he joined the British Expeditionary Force and from April 1915 to December 1918 was Base Commandant at Calais.
He had been promoted to Brigadier-General in 1916 and retired from the Army in 1920. He was re-elected in the following two general elections in 1922 and 1923. Nicholson, who had never married, died on 21 February 1924 of pneumonia at his house at South Audley Street, Mayfair aged 60.
A by-election was held to replace him as a Member of Parliament.
31st United Kingdom Parliament. 32nd United Kingdom Parliament. 33rd United Kingdom Parliament]
In In 1921, he was elected the Member of Parliament for the Westminster Abbey constituency in a by-election following the death of the incumbent Member of Parliament William Burdett-Coutts.
He was a Conservative Member of Parliament (Member of Parliament) from 1921 to 1924.