A nut graph is a singular graph with one-dimensional kernel and corresponding eigenvector with no zero elements. The problem of determining the orders n for which d-regular nut graphs exist was recently posed by Gauci, Pisanski and Sciriha. These orders are known for d ≤ 4. Here we solve the problem for all remaining cases d ≤ 11 and determine the complete lists of all d-regular nut graphs of order n for small values of d and n. The existence or non-existence of small regular nut graphs is determined by a computer search. The main tool is a construction that produces, for any d-regular nut graph of order n, another d-regular nut graph of order n+2d. If we are given a sufficient number of d-regular nut graphs of consecutive orders, called se...