I'm assuming that you mean Pipes instead of Filters as Filters are primarily tied to Exception Handling.
There is definitely some overlap as Middleware are a flexible way of composing any web application but are more of a generic concept (creating a stack of functions to build a pipeline). The others are Nest specific concepts and as such tie in a bit more naturally with things like Dependency Injection.
Pipes are used to transform input data (and optionally to do validation).
Interceptors are really neat because they can transform both data coming in and leaving your API. They give you the ability to mutate what the original handler would have returned through the use of observable streams. This is something that you would probably need to implement using two middlewares (on either side of the handler).
Use Pipes when you want to transform data coming in to a handler.
Use Interceptors when bi-directional transformation is required.
Use middlewares when you want to stick closer to the traditional (eg Express) way of building your web app or when you want to more broadly apply functionality to many handlers at once (there's less decorators floating around in your code).
As you already implied with your question, all three are very similar concepts and in a lot of cases it is hard to decide and comes down to your preferences. But I can give an overview of the differences:
Interceptors have access to response/request before and after the route handler is called.
Registration
Directly in the controller class with @UseInterceptors() controller- or method-scoped
Globally with app.useGlobalInterceptors() in main.ts
Examples
LoggingInterceptor: Request before route handler and afterwards its result. Meassure time it takes.
ResultMapping: Transform null to [] or wrap result in a response object: users -> {users: users}
Conclusion
I like that the registration is closer to the route handlers compared to middleware. But there are some limitations, for example, you cannot set the response code or alter the response with Interceptors when you send the response with the library-specific @Res() object in your route handler, see docs.
Middleware is called only before the route handler is called. You have access to the response object, but you don't have the result of the route handler. They are basically express middleware functions.
Registration
In the module, very flexible way of choosing relevant routes (with wildcards, by method,...)
Globally with app.use() in main.ts
Examples
FrontendMiddleware: redirect all routes except API to index.html, see this thread
You can use any express middleware that is out there. There are lots of libraries, e.g. body-parser or morgan
Conclusion
The registration of middleware is very flexible, for example: apply to all routes but one etc. But since they are registered in the module, you might not realize it applies to your controller when you're looking at its methods. It's also great that you can make use of all the express middleware libraries that are out there.
Exception Filters are called after the route handler and after the interceptors. They are the last place to make changes before a response goes out.
Registration
Directly in the controller class with @UseFilters() controller- or method-scoped
Globally app.useGlobalFilters() in your main.ts
Examples
UnauthorizedFilter: Map to an easy to understand message for the user
NotFoundFilter: Map all routes that are not found (not part of your api) to your index.html.
Conclusion
The basic use case for exception filters are giving understandable error messages (hiding technical details). But there are also other creative ways of usage: When you serve a single page application, then typically all routes should redirect to index.html except the routes of your API. Here, you can redirect on a NotFoundException. Some might find this clever others hacky. Your choice. ;-)
For those of us who "get it" better visually, I've created this NestJs pipeline digram based on the latest v6.10 version. Please feel free to point out any inaccuracies. I'll review and update it promptly, if needed.
The usage and function of the middleware of Nest.js is basically equivalent to Express.js, which generally functions for:
execute any code.
make changes to the request and the response objects.
end the request-response cycle.
call the next middleware function in the stack.
if the current middleware function does not end the request-response
cycle, it must call next() to pass control to the next middleware
function. Otherwise, the request will be left hanging.
Interceptor
The interceptor can transform data between the controller and the client-side, which can perform functions for:
bind extra logic before / after method execution
transform the result returned from a function
transform the exception thrown from a function
extend the basic function behavior
completely override a function depending on specific conditions
(e.g., for caching purposes)
Filter
In Nest.js, the Filter generally refers to the Exception filter, which is responsible for processing all unhandled exceptions across an application:
a built-in global exception filter handles exceptions of type HttpException (and subclasses of it)
custom exception filters are designed for controlling the exact flow of control and the content of the response sent back to the client. For example, add logging or use a different JSON schema based on some dynamic factors.