Justice Bolanle Okikiolu-Ighile convicted Nielsen, 54, on two counts of murder brought against him by the Lagos State Government.
The judge sentenced Nielsen to death by hanging on both counts.
The Dane was charged with the death of his wife and singer, Zainab and their three-year-old daughter, Petra.
Lagos State Government accused him of smothering Zainab and Petra to death at 3.45am at No. 4, Flat 17, Bella Vista Tower, Banana Island, Ikoyi, Lagos State.
Nielsen was arraigned on June 13, 2018.
He pleaded not guilty to the two-count charge of murder contrary to Section 223 of the Criminal Law of Lagos State, 2015.