I have also hunted Nilgai with two partners. Two one shot kills and the third required a running follow-up shot. We were using .375H&H and .375RUM.
Nilgai is a big, tough and aware animal. Difficult to get close. Our guide recommended .375 and has seen too many wounded animals requiring long follow-up tracking. Nilgai ain't Whitetail. I would use my .300WM with 180 gr. Swift A-Frame bullets but can't recommend anything less and suggest .338 caliber and up. My experience on large antelope (Nilgai, Livinstone Eland, Cape Eland, etc) and deer (Elk, Red Deer, Wapiti, etc) is that a .300WM is marginal and will more often than not require a second shot.
"Use enough gun!" -Robert Ruark-
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