When the first traces of the Shadow were seen in Mirkwood, in about the year III 1100, the Wise at first considered the possibility that one of the Nazgûl might have made itself a fortress at Dol Guldur. It was later discovered that this guess was wrong, and that it was none other than Sauron himself, slowly growing in strength in the heart of the darkening Forest.
In fact, we have no direct evidence of any Nazgûl at Dol Guldur for almost two thousand years after its founding. The first sure signs of the return of the Ringwraiths weren't seen until some two hundred years after the founding of Dol Guldur, but these were in Angmar and later in Mordor. Even when the White Council launched a direct assault on Dol Guldur in III 2941, it seems that no Nazgûl were involved in the fighting1.
Ten years after Sauron's retreat from Dol Guldur to Mordor, we have the first definite account of Nazgûl visiting his old fortress. There were three of them - Khamûl as commander, with two companions - sent there to reoccupy it and hold it as a northerly stronghold of the Dark Lord. They maintained a watch there until the beginning of the War of the Ring, when they left to join the other Black Riders in their quest for the Ring.
Between Dol Guldur's foundation and the assault of the White Council, more than 1,800 years had passed. Despite the lack of direct evidence, it seems difficult to believe that none of the Nazgûl visited Dol Guldur at any time during this period, if only to act as messengers. For most of the latter half of this period, though, we know that the Nine Ringwraiths remained in Minas Morgul, which they had captured in III 2002.
We can at least be fairly sure that none of the Nazgûl took part in the battle of III 2941, because of Gandalf's words at the Council of Elrond: 'It was by the devices of Saruman that we drove [Sauron] from Dol Guldur. It might be that he had found some weapons that would drive back the Nine.' (The Fellowship of the Ring II 22). If any of the Nine had fought at Dol Guldur, Gandalf would surely already have seen for himself whether Saruman had weapons that would drive them back.
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