Zaur Dadayev shot the former deputy prime minister, a vocal critic of President Vladimir Putin, in February 2015 near the Kremlin.
Four others acted as accomplices. The group were allegedly promised $250,000 (Â£192,000) to kill Nemtsov. They all denied the charges.
Nemtsov's relatives fear that whoever ordered the murder will never be found.
Russian authorities are still looking for another Chechen said to be behind the killing, Ruslan Mukhudinov. He believed to have fled abroad.
But lawyers for Nemtsov's family have said the investigators have exaggerated Mr Mukhudinov's role and "the masterminds are high-ranking people".
The jury in Moscow convicted the five men after more than eight months of hearings.
Zaur Dadayev is former member of an elite military unit. He was under the command of pro-Moscow's Ramzan Kadyrov, the head of Russia's Chechen Republic in the North Caucasus.
The other four defendants are brothers Anzor Gubashev and Shadid Gubashev, Khamzat Bakhayev and Tamerlan Eskerkhanov.
A sixth man, Beslan Shabanov, died while he was being detained in Chechnya.
Nemtsov served as first deputy prime minister under President Boris Yeltsin in the 1990s, and later became a vocal critic of President Putin.
The 55-year-old was shot dead on 27 February 2015 on his way from a restaurant in central Moscow. Earlier that day he was interviewed on a liberal radio station, in which he had called on listeners to join a rally.
At the time, Nemtsov was working on a report examining Russia's alleged role in the conflict in Ukraine.
President Putin called the murder "vile and cynical" and vowed to hold those responsible to account.
Russia has seen several killings of high-profile politicians and journalists in recent years.
But the country has a long history of prosecuting alleged hit-men and failing to follow the chain of command to discover who ordered the murder, correspondents say.
It took the 12 jury members more than 12 hours to reach their verdict. They spent it in a closed room in one corner of the military courthouse with a guard posted outside the window.
But when they finally filed back into court, it was to pronounce every one of the accused guilty. In each case they ruled by a clear majority.
Standing opposite them inside a glass cage, surrounded by armed police and a Rottweiler, the men from Chechnya listened in silence, looking relaxed and even smiling as they had for much of this trial.
There was speculation that one of the accused, Khamzat Bakhayev, might be acquitted for lack of evidence. When the jury found him guilty too, his wife burst into tears.
But outside, lawyers representing Boris Nemtsov's family said they believe the trail of evidence leads to senior figures within Chechnya, loyal to Vladimir Putin. They've vowed to go on pushing until they uncover who actually ordered Boris Nemtsov killed, and why.

Kitchen units, a hob, fridge freezer, dishwasher and sink were taken from the site in Crocketford.
The theft happened at the Ottersburn development in the village some time between Friday and Tuesday.
The units taken were Porter Alabaster rigid cabinets and the total value of the goods taken about Â£7,500.
Police have asked anyone who saw any suspicious activity in the area to contact them.
PC Victoria Thomson said "Clearly this theft would have taken a bit of time and a large vehicle to remove all the units and appliances.
"We are keen to hear from anyone who may have been in the area of the Ottersburn development over the weekend to give us a call if they saw or heard anything suspicious."
A Russian jury has found five ethnic Chechen men guilty of murdering leading opposition politician Boris Nemtsov.
[NEXT_CONCEPT]
Thieves took everything - including the kitchen sink - in a raid on a house under construction in Dumfries and Galloway.