Destiny 2 Nightmare locations are common on the Moon - the destination introduced as part of the Shadowkeep expansion - but they can also be found on other planets too.
Doing so is required to complete the main Shadowkeep story as part of the Essence of Pride quest step, as well as an on-going series of Nightmare bounties you can pick up next to Eris.
They also only appear in specific Nightmare Lost Sectors, too, so knowing where to go before hand can save you a lot of time.
Where to find Nightmare locations in Lost Sectors in Destiny 2
From Destiny 2 Year 3 with the introduction of Shadowkeep, Nightmares will spawn in select Lost Sectors in destinations throughout the solar system. These are:
EDZ Nightmare locations:
Io Nightmare locations:
Titan Nightmare locations:
Nessus Nightmare locations:
What else do you need to know about Nightmare locations in Lost Sectors?
Like Wanted enemies introduced as part of Year 2 expansion Forsaken, Nightmares will appear in select Lost Sectors. They won't appear in any at random - they live in specific locations so you need to know where to look.
While Wanted enemies are those holding Cache Codes (required to open the end chest and complete the Lost Sector), Nightmare enemies will populate the Lost Sector itself.
Some of these will be midway through, while others will spawn around the boss.
What we found is these Nightmares will often regenerate if you take your time with the Cache Code boss - so feel free to take your time here to save you running multiple Lost Sectors.
You can also defeat the same Nightmares over and over - so feel free to run the same Lost Sector a few times if it's easiest.
If you're running the Essence of Pride quest step, only a couple of complete Nightmare Lost Sector runs are required, so don't expect a hefty grind.