The R's are yet to win in the top-flight this season and Nelsen, who joined in the summer signing after being released by Tottenham, believes they must take responsibility for their dreadful start to the season.
"Do we need time to gel? Nobody was saying anything like that in August when the players were being signed," said Nelsen.
"We, as players, have to take responsibility for where we are. It's as simple as that.
"It's a horrible position that we're in and we know it. We've got to dig ourselves out of it."
A 0-0 draw in Sunderland's first game in charge was followed by a 1-1 draw at home to Aston Villa on Saturday and Nelsen is convinced the Villa game in particular is evidence they are gradually beginning to improve.
"I think Villa were probably happy with the draw," he added.
"In the position we're in, we're looking for wins but we are two games unbeaten now and we've just got to try and get that first victory.
"Our heads didn't drop when Villa scored and I don't think Harry would ever let that happen. It was disappointing to concede such a soft goal.
"For the rest of the match I felt we had all the good chances but that second goal just wouldn't come for us.
"When they got to the 60-minute mark, I think they decided they wanted that point and probably away from home, that was a pretty important one for them.
"They just sat back really but we had a few chances. Clint Hill hit the crossbar, Park Ji-sung had a good shot and we had a couple of one-on-ones in the first half as well."