Within 18 months, the young defender witnessed a League Cup final defeat and a Scottish Cup final triumph as Hearts ended 36 years without a major trophy. He thought such high-octane occasions were merely the norm in Gorgie, but quickly learned to understand their rarity.
On Saturday, Neilson leads Hearts into a second Scottish Cup final as manager 26 years since he first walked in the front door as a player. The ambition and hunger hasn’t waned, nor the passion for the cause. This is very much his club regardless of any allegiances he may have felt as a child.
He understands the magnitude of facing Rangers at Hampden Park and the significance whenever Hearts lift silverware. After watching from the periphery as a teenager in 1998, he enjoyed a central role on the field against Gretna eight years later.
Recent years have seen Scottish Cup finals come along more frequently. The Edinburgh club have now reached three of the last four without managing to carry the trophy back on the bus.
Neilson will spend his final moments before kick-off on Saturday in the Hampden dressing-room stressing the opportunity available to his players, and the need to seize their moment.
“I was here as a young player in 1998,” he recalled, speaking exclusively to the Evening News. “I was at the game and I was at the parade the following day. I was part of it in 2006 and I also went to the final in 2012.
“I understand the nature of it, what it can mean to the players for the rest of their lives if they can get that result. It's letting them realise that but also maintaining that calmness to make sure they focus on the game.
“I was only in the door a couple of years at Hearts and they'd had a League Cup final and a Scottish Cup final. I'd come to Hearts and I thought this was going to happen every year. Obviously, it was a number of years before we got back there again.
“That made me realise that, when you get that opportunity, you need to grasp it. You need to go and win it because you might only get it once or twice in your career.
“Some of these players have had two chances at the Scottish Cup now. This might be the last one, or it might be the first one for some others. Maybe it will be the only one they ever get, so they need to make sure they are ready.”
The demands which have driven the Hearts players to this point stem from Neilson and his coaching staff. European group-stage football is already secure for next season following a third-place finish in the cinch Premiership and this run to the Scottish Cup final.
Beating Hibs at Hampden in the semi-final was the biggest game since, well, the last meeting of the Edinburgh clubs there in the 2020 semi-final. Test after test, examination after examination, Neilson’s players have passed and moved relentlessly on to the next stage. It has created a historic campaign.
Think back just 14 months to a truly horrible and unforgettable Scottish Cup second-round exit at Brora Rangers, and the rate of Hearts’ recent progress becomes clear. There won’t be any relaxation, even if they beat Rangers and lift the trophy.
“When you're at a club of this size, you go into any competition expecting to win it,” explained Neilson. “We want to try and win the League Cup, we want to try and win the Scottish Cup. We aren't going into these tournaments thinking: 'Let's just try and get to the third round.'
“I would expect ourselves, even last year in the Championship, to have a better run than we did. I expect us to be in these big games. Don't get me wrong, it's very hard to get there and it can be tough. I feel pretty comfortable being here and happy with what we've got here.”
He won’t allow himself to enjoy much of the build-up, pre-match atmosphere or general razzmatazz which surrounds major finals at the national stadium. Never mind the fireworks or singalongs. Neilson’s mind is transfixed on technical matters.
He turns 42 next month and is nearing the end of his eighth season in management. That’s sufficient time to learn why getting sucked in by the mood and joviality around you will almost certainly lead to failure. Especially on big occasions.
“From a personal point of view, I try to just blank it out and just focus on what we need to do,” he explained. “I think that's an important thing. When you're out there at Hampden in front of a full house, you're on the touchline on your own. You can't get involved in all the nonsense round about it.
“You have to focus on what's best for the team. I've been there a few times as a coach now. I just try to ignore all the stuff in the background and keep the players as calm as we can as we build up to it.
“There will be no big speeches beforehand. The players should know exactly what we need to do when we get to Hampden. It's a case of trusting them to go and do it.”