In later seasons of Little House on the Prairie, Mary Ingalls hair went from the natural golden blonde she had for the majority of the show and was suddenly a much darker brown in color instead and was curled quite differently.
The actress who portrayed Mary Ingalls, Melissa Sue Anderson, cut her hair short in real life. Since that was not in keeping with the time period when all women wore their hair long, the show decided to put her in a wig instead. Why the show chose to put her in a much darker wig is not known and the change was quite noticeable to viewers.
So yes, it wasn’t just Nellie Oleson who wore a wig on the show!