The orthorhombic compound NdFe$_2$Al$_{10}$ has been studied by powder and single-crystal neutron diffraction. Below $T_N$ = 3.9 K, the Nd$^{3+}$ magnetic moments order in a double-$k$ [$mathbf{k}_1 = (0, frac{3}{4}, 0)$, $mathbf{k}_2 = (0, frac{1}{4}, 0)$] collinear magnetic structure, whose unit cell consists of four orthorhombic units in the $b$ direction.The refinements show that this structure consists of (0 1 0) ferromagnetic planes stacked along $b$, in which the moments are oriented parallel to $a$ (the easy anisotropy axis according to bulk magnetization measurements) and nearly equal in magnitude ($approx 1.7-1.9 mu_B$). The alternating 8-plane sequence providing the best agreement to the data turns out to be that which yields the lowest exchange energy if one assumes antiferromagnetic near-neighbor exchange interactions with $J_1 gg J_2, J_3$. With increasing temperature, the single-crystal measurements indicate the suppression of the $mathbf{k}_2$ component at $T = 2.7$ K, supporting the idea that the anomalies previously observed around 2--2.5 K result from a squaring transition. In a magnetic field applied along the $a$ axis, the magnetic Bragg satellites disappear at $H_c = 2.45$ T, in agreement with earlier measurements. Comparisons are made with related magnetic orders occurring in Ce$T_2$Al$_{10}$ ($T$: Ru, Os) and TbFe$_2$Al$_{10}$.