Just before the 2002–03 Serie A campaign, financial woes forced Lazio to sell many of their best players, including Nesta, who transferred to Milan for €30,987,000 (60 billion lire).
During this time, he would form a formidable defensive line alongside Paolo Maldini, Cafu, Alessandro Costacurta and Jaap Stam, among others.
Nesta's first two seasons with the Rossoneri were very successful.
During the 2002–03 season, he won the Champions League for the first time in his career as Milan defeated rivals Juventus at Old Trafford in the first all-Italian Champions League final in history.
Nesta helped Milan keep a clean sheet during the match, which went to a penalty shootout following a 0–0 deadlock after extra time.
Nesta was able to score his penalty kick as Milan won the shootout 3–2.
Nesta also won the Coppa Italia over Roma during his first season at the club, while Milan finished third in Serie A that season.
Nesta was once again awarded the Serie A Defender of the Year award for his performances, and was elected to be part of the UEFA Team of the Year.

The following season, Milan lost both the 2003 Supercoppa Italiana to Juventus and the Intercontinental Cup final to Boca Juniors, on penalties.
Nesta managed to win the European Super Cup with Milan against Porto, however, and captured his second Scudetto that season, during which Milan set an Italian record for points won.
Milan were eliminated in the quarter-finals of the Champions League, and in the semi-finals of the Coppa Italia, to eventual winners Lazio, although Nesta managed to score a goal in the quarter-final match against Roma.
Nesta was once again elected to be part of the UEFA Team of the Year, for the third consecutive season.

Nesta began the next season by defeating his former team Lazio to capture the 2004 Supercoppa Italiana.
Milan also reached the Champion's League final in 2005, losing to Liverpool on penalties, while in Serie A, they finished behind champions Juventus.
Despite finishing second in both Serie A and the Champions League, Nesta was elected to the 2005 FIFPro World XI for the first time in his career, for his performances.

During the 2005–06 A.C. Milan season, Milan once again finished behind Juventus in Serie A, although both Juventus and Milan were later deducted points for being involved in the 2006 matchfixing scandal, and the title was awarded to Internazionale; Juventus were relegated while Milan finishing in third place after the point deduction.
Milan also reached the semi-finals of the Champions League in 2006, losing out to eventual champions Barcelona, while they were eliminated in the quarter-finals of the Coppa Italia.

Despite missing most of the 2006–07 season due to a shoulder injury, Nesta played a vital part in Milan's return to the 2007 Champions League final, where Milan avenged their 2005 final loss, defeating Liverpool 2–1 in Athens.
Despite Milan's point deduction during the season, Nesta was also able to return from injury in time to help Milan manage a fourth-place finish in Serie A, clinching the final Champions League spot.
Nesta was elected to be part of both the UEFA Team of the Year and the FIFPro World XI for his performances that season.

Nesta won his third European Super Cup in August 2007 when Milan defeated Sevilla 3–1.
Nesta signed a contract extension that would keep him at Milan until 2011.
Nesta went on to score his first goal for Milan since April 2006 in a 1–1 draw with Siena on 15 September 2007.
He followed this up with an important goal for Milan in the 4–2 victory over Boca Juniors in the final of the 2007 FIFA Club World Cup.
Milan would disappoint throughout the rest of the season, however, finishing fifth in Serie A and being eliminated in the round of 16 of the UEFA Champions League and the Coppa Italia.

Serious back injuries forced Nesta out of action for the whole 2008–09 season, which raised concerns about his chances to make a comeback into active football.
He fully recovered from his injuries and came on as 77th-minute substitute in Milan's final Serie A away match to Fiorentina on 31
Just before the 2002–03 Serie A campaign, financial woes forced Lazio to sell many of their best players, including Nesta, who transferred to Milan for €30,987,000 (60 billion lire). During this time, he would form a formidable defensive line alongside Paolo Maldini, Cafu, Alessandro Costacurta and Jaap Stam, among others. Nesta's first two seasons with the Rossoneri were very successful. During the 2002–03 season, he won the Champions League for the first time in his career as Milan defeated rivals Juventus at Old Trafford in the first all-Italian Champions League final in history. Nesta helped Milan keep a clean sheet during the match, which went to a penalty shootout following a 0–0 deadlock after extra time. Nesta was able to score his penalty kick as Milan won the shootout 3–2. Nesta also won the Coppa Italia over Roma during his first season at the club, while Milan finished third in Serie A that season. Nesta was once again awarded the Serie A Defender of the Year award for his performances, and was elected to be part of the UEFA Team of the Year.
The following season, Milan lost both the 2003 Supercoppa Italiana to Juventus and the Intercontinental Cup final to Boca Juniors, on penalties. Nesta managed to win the European Super Cup with Milan against Porto, however, and captured his second Scudetto that season, during which Milan set an Italian record for points won. Milan were eliminated in the quarter-finals of the Champions League, and in the semi-finals of the Coppa Italia, to eventual winners Lazio, although Nesta managed to score a goal in the quarter-final match against Roma. Nesta was once again elected to be part of the UEFA Team of the Year, for the third consecutive season.
Nesta began the next season by defeating his former team Lazio to capture the 2004 Supercoppa Italiana. Milan also reached the Champion's League final in 2005, losing to Liverpool on penalties, while in Serie A, they finished behind champions Juventus. Despite finishing second in both Serie A and the Champions League, Nesta was elected to the 2005 FIFPro World XI for the first time in his career, for his performances.
During the 2005–06 A.C. Milan season, Milan once again finished behind Juventus in Serie A, although both Juventus and Milan were later deducted points for being involved in the 2006 matchfixing scandal, and the title was awarded to Internazionale; Juventus were relegated while Milan finishing in third place after the point deduction. Milan also reached the semi-finals of the Champions League in 2006, losing out to eventual champions Barcelona, while they were eliminated in the quarter-finals of the Coppa Italia.
Despite missing most of the 2006–07 season due to a shoulder injury, Nesta played a vital part in Milan's return to the 2007 Champions League final, where Milan avenged their 2005 final loss, defeating Liverpool 2–1 in Athens. Despite Milan's point deduction during the season, Nesta was also able to return from injury in time to help Milan manage a fourth-place finish in Serie A, clinching the final Champions League spot. Nesta was elected to be part of both the UEFA Team of the Year and the FIFPro World XI for his performances that season.
Nesta won his third European Super Cup in August 2007 when Milan defeated Sevilla 3–1. Nesta signed a contract extension that would keep him at Milan until 2011. Nesta went on to score his first goal for Milan since April 2006 in a 1–1 draw with Siena on 15 September 2007. He followed this up with an important goal for Milan in the 4–2 victory over Boca Juniors in the final of the 2007 FIFA Club World Cup. Milan would disappoint throughout the rest of the season, however, finishing fifth in Serie A and being eliminated in the round of 16 of the UEFA Champions League and the Coppa Italia.
Serious back injuries forced Nesta out of action for the whole 2008–09 season, which raised concerns about his chances to make a comeback into active football. He fully recovered from his injuries and came on as 77th-minute substitute in Milan's final Serie A away match to Fiorentina on 31 
Alessandro Nesta