The basis of Nalson's collection seems to be original papers from the office of the Clerk of the Parliament, from which he was allowed to take material to be used in connection with his published work, An Impartial Collection of the Great Affairs of State, 2 vols. (London, 1682-3). He also made copies of papers in the State Paper Office, and of papers in the possession of the Duke of Ormonde, now MSS. Carte in the Bodleian Library. His death in 1686 prevented him from completing his work, which covers the period 1639 to January 1642 only.

After his death, some part of his collections came into the hands of Bishop Thomas Tanner (1674-1735), and are now to be found among the Tanner manuscripts in the Bodleian Library. Most of the remainder passed to Nalson's grandson, Philip Williams, who bound and arranged them before 1730. Many were published shortly after this, in Francis Peck, Desiderata Curiosa (2 vols., London, 1732, 1735); Zachary Grey, An Impartial Examination of the Third Volume of Mr. Daniel Neal's History of the Puritans (London, 1737), and An Impartial Examination of the Fourth Volume of Mr. Daniel Neal's History of the Puritans (London, 1739).

According to Nichol's Literary Anecdotes, the collection passed to the Reverend William Cole of Ely, the son-in-law of Zachary Grey, and then to his brother, Charles Nalson Cole (d. 1804). Its history is then obscure until its discovery in 1885 by Maxwell Lyte in a cupboard in the Duke of Portland's library at Welbeck Abbey.