This paper presents an electromagnetic transient analysis of lightning-initiated overvoltage stresses of the step-up transformers installed inside a nacelle of onshore, multi-megawatt, new-generation wind turbines. The increase in the wind turbine (WT) nominal power output, necessitated introducing the step-up transformer into the nacelle. A transformer installed inside a nacelle is subjected to completely different overvoltage stresses from those present if it were installed at the base of the WT tower. This has serious repercussions on its overvoltage protection (i.e., selection and installation of surge arresters) and insulation coordination. Furthermore, the overvoltage protection of medium-voltage cables (inside the tower) is also problematic when considering their length, proximity to the tower wall, and their screen grounding practices, and needs to be tackled in conjunction with that of the step-up transformer. This paper presents detailed models for the various components of the latest-generation WTs, intended for fast-front transient analysis and assembled within the EMTP software package. We further present the comprehensive results of the lightning-transient numerical simulations, covering both upward and downward (first and subsequent) strikes, their analysis, and recommendations for the optimal selection of medium-voltage surge arresters for the step-up transformers installed inside a nacelle.