Nickalls was born on 23 January 1877 at North Weald, Essex, the son of Sir Patteson Nickalls, a stockbroker, and his wife Florence. He was educated at Rugby School. There he was in the cricket XI from 1892 to 1894 and in the rugby XV in 1893. He went to New College, Oxford, played in the Varsity Match for the Oxford University Polo Club in 1895-6-7 and graduated with a BA in 1897. In 1900, he was gazetted to the Durham Light Infantry and served in the Second Anglo-Boer War. He took part in the Relief of Ladysmith and the Battle of Colenso. He retired from the army in 1901 and became a member of the London Stock Exchange.