Nelson stole the ball from Mavericks center Erick Dampier, who fouled Nelson to the floor. Nelson got up clutching his right shoulder and headed to the locker room. He was scheduled to have an MRI on Tuesday.
"I can still shoot with my other arm," Nelson joked afterward, his arm in a sling. "I don't know what happened. I just got hit to the floor. We don't know how bad it is yet, so we'll wait and see."
Orlando, which has avoided a major injury this season, is hoping Nelson's dislocation isn't anything more than that.
"He's the point guard. He's the leader," forward Courtney Lee said. "Hopefully we won't miss him too long. We'll need him."
Earlier Monday, it was announced that Nelson would participate in the skills challenge competition as part of the All-Star break contests. Nelson was already heading to Phoenix after being added as an All-Star reserve to the East roster, joining teammates Dwight Howard and Rashard Lewis.
Information from The Associated Press was used in this report.