Picard has never left the Nexus.This is pretty straightforward. The Nexus gives its occupants everything they desire, and Picard's desire was to stop Soran. So, the Nexus granted his wish and created a simulacrum of Veridian 3, with a simulacrum of Soran, where Picard could fulfill his fantasy. Then, he wished revenge against the Borg, and his wish was granted. He also wanted the people around him to get better (LaForge to get real eyes, Riker to rekindle his relationship with Troi) and he got that wish too. He wanted a final mission with his entire crew, including members that couldn't possibly be there (like Worf), where Riker would be promoted to captain and he would stop a Romulan invasion of Federation space. He got that wish too. This would also explain the inconsistencies between the later movies and the established canon (Troi saying she never kissed Riker when he had a beard, Worf being aboard the Enterprise and saying Romulan ale is illegal, Wesley Crusher being present at the ceremony, a photograph of Picard as a bald cadet). Those are the results of events Picard either forgot or wanted to forget, made into a perceptible form by the Nexus.
Alternatively, Picard never entered the Nexus.Posed by SF Debris. In his words: "After all, which is more likely; That Picard (a 74-year-old man in a nearly all-black uniform, no protection from the sun, and with no water to speak of) now has sunstroke, and believes he is teaming up with Starfleet's greatest hero, or that Picard goes to a magical land of fairy dust where all his wishes come true?"