At the beginning of the '80s she became famous as a model, working for top designers such as Armani, Valentino, Ferrè and was photographed by Helmut Newton and Francesco Scavullo. Nielsen began her acting career in 1985, in Red Sonja alongside Arnold Schwarzenegger. In the same year she met and married Sylvester Stallone; the couple acted in two movies together (Rocky IV and Cobra) before divorcing in 1987.

Nielsen started a music career shortly after her divorce from Stallone in 1987. She released her debut album Every Body Tells A Story in that year and recorded a duet with Austrian pop star Falco called "Body Next To Body" which went to #22 in Germany and #6 in Austria. In 1990 she recorded a single called "Rockin' like a radio" . She released a follow-up album, "I'm the one..nobody else", in 1991, although it was also not a success. In 2000 she made a musical comeback by recording the dance track "No more turning back" under the pseudonym of Gitta and reached #1 in Spain