Early projections gave Trump 42 percent of the vote, with senators Marco Rubio of Florida and Ted Cruz of Texas trailing.
"Thank you Nevada, We will make America safe and great again," Trump tweeted.
As early returns trickled in, CNN and Fox News had Rubio in second place with about 25 percent of the vote and Cruz in third place with about 22 percent.
Turnout was high, exceeding all expectations, with some caucus sites running low on ballots, AFP reported.
The remaining two candidates for the Republican presidential nomination, retired neurosurgeon Ben Carson and Ohio Governor John Kasich, came in at about seven and four percent, respectively.
The results underscored the enormous challenge Trumps rivals face as the candidates head into next weeks all important "Super Tuesday" contests involving 11 states.
The real estate mogul had been all but certain to triumph in Nevada, with the big question being which candidate would come in second.
The contest was the fourth for the Republican presidential candidates, with Trump so far winning in New Hampshire and South Carolina. He came in second in Iowa.
Although the caucus in Nevada is not expected to have a significant impact on the overall race -- only 30 delegates or slightly more than one percent of the total are up for grabs -- it was the first contest for the Republicans in the US West.
It is also the first test of Republican voter sentiment after Jeb Bush pulled out of the race last week following a poor showing in South Carolina.
And candidates here faced the most diverse electorate thus far in the race, more representative of the US population as a whole.