Soliton microcombs constitute chip-scale optical frequency combs, and have the potential to impact a myriad of applications from frequency synthesis and telecommunications to astronomy. The requirement on external driving lasers has been significantly relaxed with the demonstration of soliton formation via self-injection locking of the pump laser to the microresonator. Yet to date, the dynamics of this process has not been fully understood. Prior models of self-injection locking were not able to explain sufficiently large detunings, crucial for soliton formation. Here we develop a theoretical model of self-injection locking to a nonlinear microresonator (nonlinear self-injection locking) for the first time and show that self- and cross-phase modulation of the clockwise and counter-clockwise light enables soliton formation. Using an integrated soliton microcomb of directly detectable 30 GHz repetition rate, consisting of a DFB laser self-injection-locked to a Si3N4 microresonator chip, we study the soliton formation dynamics via self-injection locking, as well as the repetition rate evolution, experimentally. We reveal that Kerr nonlinearity in microresonator significantly modifies locking dynamics, making laser emission frequency red detuned. We propose and implement a novel technique for measurements of the nonlinear frequency tuning curve and concurrent observation of microcomb states switching in real time.