We investigate the relation between the incompatibility of quantum measurements and quantum nonlocality. We show that a set of measurements is not jointly measurable (i.e., incompatible) if and only if it can be used for demonstrating Einstein-Podolsky-Rosen steering, a form of quantum nonlocality. Moreover, we discuss the connection between Bell nonlocality and joint measurability, and give evidence that both notions are inequivalent. Specifically, we exhibit a set of incompatible quantum measurements and show that it does not violate a large class of Bell inequalities. This suggests the existence of incompatible quantum measurements which are Bell local, similarly to certain entangled states which admit a local hidden variable model.