Only immediate properties of an instance can be displayed in a BoundField column.
One must instead use DataBinder.Eval in an itemtemplate to access the nested property instead of assigning it to a boundfield.
Example:
<asp:TemplateField>
<itemtemplate>
<p><%#DataBinder.Eval(Container.DataItem, "NestedClass.Name")%></p>
</itemtemplate>
</asp:TemplateField>
Alternatively, you can create a custom class which inherits BoundField and overrides GetValue to use DataBinder.Eval, as described in this blog post: