The Bornholm Railway Museum documents the island's narrow-gauge railway network, which operated from 1900 to 1968 and connected Nexø to Rønne, Gudhjem, and other island towns. The museum occupies part of the old Nexø station building and keeps the equipment in good condition — several locomotives and carriages are displayed in and around the former engine shed.
It is a specialist museum, but even visitors without a particular interest in railways will find the historical photographs and maps engaging. They show a Bornholm that was more industrially connected than it appears today, with a working fishing port, smokehouses, and a granite quarrying industry all dependent on the line. The museum is within easy walking distance of the town centre.