The aim of this research was to perform a multinational analysis that estimates the marginal effect of changes in different sources used to generate electricity on wholesale Nordic electricity prices. Three price series were selected: (1) the Nord Pool market clearing price, (2) western Denmark’s area spot price (DK1), and (3) Finland’s (FI) area spot price. Data were drawn for the 16 years, 2000–2015. Linear regression was used. The results showed that changes in the energy sources used to supply electricity had varying impacts, showing that average annual prices were affected more when there was a decrease in nuclear production levels rather than an increase. This study highlights the fact that unilateral decisions made by an individual country in an integrated market can have large consequences on other nations’ wholesale electricity prices.