Nautilus is gtk3. Thunar is gtk2. I don't know about the third. Ensure that the theme you use has a gtk-3.0 folder if you want Nautilus to be styled as well.
Your theme may be in ~/.themes or in /usr/share/themes (which is where they're located in Ubuntu 12.04.)
The Ambiance theme, for example, is here: /usr/share/themes/Ambiance. Within are the following:

[03:04 PM] /usr/share/themes/Ambiance $ ls

gtk-2.0 gtk-3.0 index.theme metacity-1 unity

The presence of the gtk-3.0 folder ensures that apps based on gtk3 will be styled correctly.

Edit: I suspect that most software from GNOME will be gtk3. Other things like Chrome, Firefox, LibreOffice still are gtk2.

Anyway, as the other answer also suggested:

Nautilus is gtk3: use a gtk3 theme if you want a gtk3 program to be themed.

(In order to use a theme that does not have gtk3 support: a not very recommendable workaround is to copy the gtk3 folder from a theme that has it into the folder of the one that does not. In fact, in Lubuntu, one can extract and copy themes in home/username/.themes in order to install them, a location which does not require root privilege. But some applications like Synaptic Manager require a theme in usr/share/themes: see this question.)