During the latter part of the 19th century, Nielsen Park was a part of the Vaucluse House estate, then under the ownership of one of Australia’s great historical figures, William Charles Wentworth. His son-in-law John Reeve undertook to construct the magnificent Greycliffe House. This meticulously maintained house remains to this day on the raised plain above Shark Beach and is one of very few examples of Gothic architecture in Sydney.

In 1911 the park was established as a public reserve, thanks to the efforts of the Harbour Foreshores Vigilance Committee, which was formed in 1905 to champion the cause of returning the foreshores of the inner harbour to public ownership. The park was christened Nielsen Park, after the incumbent minister for land, Neils Nielson.

Subsequent to becoming a part of the public domain, Nielsen Park received additional features, such as the unique sea wall, classic bathing sheds and the kiosk. In 1975, the land and its existing structures were subsumed under the mantle of Sydney Harbour National Park.