In 1964, Bell discovered that quantum mechanics is a nonlocal theory. Three years later, in a seemingly unconnected development, Harsanyi introduced the concept of Bayesian games. Here we show that, in fact, there is a deep connection between Bell nonlocality and Bayesian games, and that the same concepts appear in both fields. This link offers interesting possibilities for Bayesian games, namely of allowing the players to receive advice in the form of nonlocal correlations, for instance using entangled quantum particles or more general no-signalling boxes. This will lead to novel joint strategies, impossible to achieve classically. We characterize games for which nonlocal resources offer a genuine advantage over classical ones. Moreover, some of these strategies represent equilibrium points, leading to the notion of quantum/no-signalling Nash equilibrium. Finally, we describe new types of question in the study of nonlocality, namely the consideration of nonlocal advantage given a set of Bell expressions.