His 12-year-old horse Avebury helped him to finish 2.5 points ahead of Sinead Halpin of America, who was in front after the cross country but knocked down three rails in the show jumping.
"I'm not surprised to win, but highly delighted," Nicholson, whose grey gelding knocked down a single rail during the final phase, said.
"I came here expecting to do well and Avebury has been on good form all year, so knew we had a chance."
With the win, Nicholson stays as world number one.
Only four of the 52 riders had a clear jumping test after a tough cross country and with many riders feeling that the fences were too high combined with a sticky surface.
William Fox-Pitt on Parklane Hawk was third and clinched the HSBC Classics Trophy for the third time in the process, winning £120,000.
The opening leg of the 2013 HSBC Challenge will be held in Pau from October 24 and will feature top riders such as Fox Pitt, Nicholson, Mary King, Oliver Townend, and Olympic champion Michael Jung.