After spending spring training with the New York Mets in 2005, he signed to play with the Devil Rays' Triple-A team.

Despite good peripheral numbers of 61 strikeouts in 46 innings and a .229 opponents' batting average, he went 0–3 with a 4.11 ERA and was released in July.

After Royals closer Ambiorix Burgos was demoted on August 14, Nelson threw a perfect ninth inning the following day.

Joe Nelson earned a victory over the Mets in his final appearance with the Marlins on September 28, 2008, becoming the last recorded winning pitcher at Shea Stadium.

He elected to become a free agent after he was designated for assignment by the Red Sox last week after opening the season with a 9.72 ERA over his first eight appearances.

After his active career, Nelson served as a professional scout for the Red Sox, based in West Palm Beach, Florida.