Nicolini won the award alongside SOS Méditerranée, a European organisation dedicated to saving refugees in Mediterranean waters.
"Since she was elected as mayor in 2012, Nicolini has distinguished herself for her great humanity and constant commitment in the management of the refugee crisis and the integration after the arrival of thousands of refugees on the coasts of Lampedusa and elsewhere in Italy," the citation said.
One of the Aeolian Islands, Lampedusa is a stepping-stone to Europe which is geographically closer to Africa than Sicily.
The island has long been a migrant gateway into Italy and Europe for refugees making the desperate passage from Libya.