The Titan's Curse
A young Nico had the ability to annoy Percy quite easily, as seen in The Titan's Curse when he asked Percy several questions about his relationship with Annabeth. Nico developed a secret crush on Percy, as he was "Nico’s favorite game, Mythomagic, brought to life." Near the end of the book however, Nico begins to blame Percy for his sister's death, making him much more cynical, but still doesn't let the Skeleton Warriors harm him, and "leaves Camp Half-Blood because of love". Percy, true to character, feels partially at fault and responsible for Nico leaving.
The Battle of the Labyrinth
Percy receives Iris Messages from Bianca, Nico's sister, regarding Nico. The two later meet at Geryon's ranch, where Percy makes a bet with Geryon. Nico is included, which angers him, as he shouts that he doesn't want any favors from Percy. After Percy defeats Geryon, he and Nico talk to Bianca, who tells Nico to stop holding a grudge against Percy when it is she he is angry with. By the end of the book, Nico has forgiven Percy. In the last chapter, he appears and informs Percy of a plan he has.
The Last Olympian
Nico leads Percy to his father's palace in order to gain information on his mother, not knowing that Hades plans to lock Percy up. Percy feels betrayed, even when Nico eventually tries to help him. After Percy bathes in the Styx, he tells Nico to stay and convince Hades to join the Olympians in battle. Nico appears glum, stating that Percy can't trust him anymore. The two join to battle in final battle and Percy forgives Nico.
The Son of Neptune
After Percy has lost his memory, Nico pretends to not know him, and it's later revealed in The Mark of Athena that Hades had told him the time was not right for Percy to know. Once Percy regains his memory, he feels the urge to strangle Nico for not telling him.
The Mark of Athena
In Percy's narration, it is mentioned that Percy had wanted to strangle Nico about what he did, but doesn't, due to how Nico is after being kidnapped. Nico states (after Annabeth and Percy's fall) that Percy is the most powerful demigod that he knows. During Nico's kidnapping, Percy doesn't give up on finding him, showing that he cares a lot about him. After Nico is rescued Percy can tell that Nico may - or may not - have seen something in Tartarus that shattered him permanently, which shows that they know each other well, despite their previous situations.
The House of Hades
Nico's true feelings towards Percy are finally revealed when he is forced to admit that his feelings for Percy run deeper than friendship, as he had a crush on Percy. Jason is with him at the time and keeps the secret for him. Percy knows nothing of these feelings and does not return them, though he does care for him like a brother and while in Tartarus realizes Nico is another friend he hasn't treated very well. At some point, Nico had visited Iapetus in the Underworld, and told him that Percy was a friend. It is more than likely that Nico assisted Percy multiple times in the past due to the crush he had on him.
Although Nico states in The House of Hades that he gave up on Percy, there are several parts in the book that imply otherwise. Favionus calls Percy, though not by name, "the one [Nico] cares for most," and Hazel notices that Nico has a pained look in his eyes at seeing Percy and Annabeth hold hands. However, because she doesn't know of Nico's crush on Percy, Hazel believes that the pain is from Nico having gone through Tartarus alone.
When Nico and Hazel Shadow Travel the group out of the Necromanteion, Nico realized that he was holding Percy's hand after everybody else let go, and quickly lets go. Later on, when Nico goes to transport himself, Reyna, Gleeson Hedge and the Athena Parthenos, Percy comes to thank him for keeping his promise and tries to pick up their tattered friendship, Nico, afraid of his feelings, asks Percy to give him space and leave him alone, much to Percy's confusion and hurt.
The Blood of Olympus
Nico walks up to Percy and states that he's 'not his type.' Only then did Percy give off somewhat of an influence that he was starting to understand Nico was gay. Before realizing this, he had suspected Nico had a crush on Annabeth, his loving and precious and eternally his girlfriend. Therefore, he was under the impression Nico was jealous of him.