Following the turn of the century, he went on to dominate for a period, winning the leading trainer award five more times, in 2004, 2006, 2007, 2008 and 2009. He has yet to do so again but, with 46 winners to his name, Nicholls remains the third most successful trainer in the history of the Cheltenham Festival.
Nicholls has won the Queen Mother Champion Chase six times, the Cheltenham Gold Cup and the Stayers' Hurdle four times apiece and the Champion Hurdle once. His most famous Cheltenham winner was Kauto Star, who won the Cheltenham Gold Cup twice, in 2007 and 2009, on the latter occasion becoming the first horse to regain his title after being beaten by stable companion Denman in the 2008 renewal. Other notable Nicholls-trained Festival winners have included Big Buck's, who won the Stayers' Hurdle a record four years running in 2009, 2010, 2011 and 2012, and Master Minded, who record back-to-back victories in the Queen Mother Champion Chase in 2008 and 2009.