The Nexø Museum is the town's main cultural institution, covering both the history of the fishing port and the life of Martin Andersen Nexø, the novelist who grew up here and adopted the town's name as his pen name. His most celebrated works, including Pelle the Conqueror (1906–10), drew directly from his impoverished Bornholm childhood and were later adapted into an Oscar-winning film.
The museum's other strong suit is its documentation of the Soviet bombing in May 1945 and the subsequent rebuilding of Nexø. Models, photographs, and first-hand accounts from residents who lived through the attack make this an unusually moving local history exhibition. The building is in the town centre, easy to find.