As the person who assisted Peter White in bringing Alice to Wonderland, Nightmare has a strong interest in Alice and in keeping her safe. He checks up on her both in her dreams and in real life and answers questions she may have, at least for the most part. Nightmare is the one who explains most of the workings of Wonderland to Alice. He is very fond of her and will protect her if at all possible, but that doesn't stop him from whining if she tells him to work.
Gray is Nightmare's faithful subordinate, acting often as more a nanny than a work assistant to Nightmare. Although Gray once targeted Nightmare to kill him, even then he worked as Nightmare's assistant because he couldn't leave unfinished work or kill someone so sickly. Gray's methods of getting Nightmare to work harder range from bribing with sweets to positive encouragement to subtle threats, although Nightmare mostly seems to focus on the latter.
On the surface, Blood and Nightmare have a cordial relationship. In reality, Blood is extremely wary of Nightmare.
Unexpectedly, Elliot and Nightmare are on very good terms, and in fact are drinking buddies. They do argue over whether Gray is a better subordinate than Elliot, or if Nightmare is a better boss than Blood. It’s a strange argument that doesn’t make sense to anyone listening.
Tweedle Dee & Tweedle Dum
The twins seem indifferent toward Nightmare, and other than considering them dangerous, Nightmare seems indifferent as well.
Nightmare and Boris have a very nonchalant relationship and get along fine.
Nightmare helps the insomniac Pierce to sleep by giving him good dreams and sometimes keeping him away from Boris. He doesn't particularly like Pierce, but unlike most of the world he does not hate the stupid mouse, perhaps because Pierce experiences somewhat similar hatred by the general population that Nightmare does.
It was Nightmare who assisted Peter in bringing Alice to Wonderland, providing him with the route to her world and the Medicine of the Heart. Peter says he is envious of Nightmare for being able to read minds, specifically Alice's, while Nightmare is envious that Peter is so close to Alice. Typically they are shown to interact in dreams, where Nightmare visits Peter to talk about Alice; Peter is as to cold Nightmare as he is to everyone else, and Nightmare is a little teasing, a little cautious with Peter. He often warns the White Rabbit about things regarding Alice.
The two have a relationship that involves a lot of bickering and insulting one another, but they don't seem to truly hate each other. Nightmare finds Julius gloomy and in need of lightening up, while Julius considers him childish and immature. During April Season when Julius's room connected to the Tower of Clover, Nightmare claimed he was Julius's landlord and tried to order Julius around, further irritating Julius.
Crysta considers the incubus Nightmare an extremely rare specimen worthy of her collection, and has tried to invade the station many times attempting to capture him. She also regularly sends letters to him which he's forced to answer lest he trigger her anger. Consequently Nightmare is quite terrified of her and tries his best to avoid her as much as possible-going as far as to create a fuss at the mere report of troops from the Diamond Castle being detected in the vicinity of the station. (The younger version of Nightmare residing in the country Diamonds is the one who's acquainted with Crysta, Sidney and Jericho, since they hadn't appeared in the earlier games so far. However 'Adult' Nightmare from the country of Clover appears to have knowledge of her as well and is similarly afraid of her.)
The two of them are in amiable terms in general since Nightmare prefers to stay out of the territory disputes as much as possible and both of them share a non-aggressive nature. Nightmare also is the stationmaster and is often contacted by the other territories when they need to utilize the services of the trains (The Museum has been shown to do this twice in Wonderful Mirror World).
While neither man appears to like the other, it is hinted that under normal circumstances they are not antagonistic towards each other. Things change after Alice arrives in Wonderland.