Officers were called to his constituency office in East Dunbartonshire on Tuesday afternoon.
Police set up a temporary cordon around the Townhead area in Kirkintilloch, although it has since been removed.
The package has been taken for examination by police. Mr Nicolson was last elected to represent the area at Westminster in May 2015.
In a tweet, Mr Nicolson said: "Everyone is ok. The police were speedy and efficient and took away the package."
Police are investigating a suspicious package delivered to the office of the SNP's John Nicolson.