Son of a Lutheran clergyman, Nicolai studied theology at the Universities of Erfurt and Wittenberg from about 1575 to 1579. He then became pastor in Herdecke an der Ruhr, but was driven out by Spanish Counter-Reformation mercenary troops during the religious war. He moved to Köln (Cologne), a thoroughly Catholic city, and was a preacher of the Lutheran congregations, who at that time met secretly in houses.

In 1588, Nicolai became Hofprediger (Court Preacher) and teacher of the Count of Waldeck in Wildungen, Hessen. In 1596, he became a pastor in Unna, Westphalia. During his Unna years, plague killed hundreds of his parishioners. For consolation, Nicolai wrote his book Freudenspiegel des ewigen Lebens (Joyous Mirror of Eternal Life), edited in 1599. His two most famous hymns were published in that work.

In 1601, Nicolai became pastor at Katharinenkirche (St. Katherine’s Church) in Hamburg, where he served the rest of his life.