Nexø sits on the east coast of Bornholm, about 17 kilometres south of Rønne, the island's main town and transport hub. Bornholm is reached by ferry from Ystad in Sweden (approximately 80 minutes) or by flight from Copenhagen. The ferry terminal is in Rønne.
From Rønne, the BAT bus service (Bornholms Amts Trafikselskab) runs regular routes along the east coast road to Nexø. The journey takes about 35–40 minutes. Cycling from Rønne is also a reasonable option via the island's extensive network of cycle paths — the route south from Åkirkeby to Nexø is mostly flat and passes through attractive countryside.
There is no direct ferry connection to Nexø from the mainland; all sea arrivals go through Rønne.