Nelthorpe was involved in the Rye House plot to assassinate the king, and on its failure escaped with another lawyer, Nathaniel Wade, to Scarborough, They took ship to Rotterdam, and arrived at Amsterdam at the end of June 1683.
Finding that the States-General had resolved to arrest them, Nelthorpe and Wade fled to Vevey in Switzerland, and were welcomed by Edmund Ludlow.
Meanwhile a reward was offered by royal proclamation for Nelthorpe's apprehension, and on 12 July a grand jury found a true bill against him.
After the battle of Sedgemoor he was sheltered by Alice Lisle at her house in Hampshire, but his hiding-place was betrayed by one Barter.
He was examined on 9 August, refused to divulge anything of a serious nature, and was so badly treated that he temporarily lost his reason.