In this paper, first we introduce the notion of a Reynolds operator on an $n$-Lie algebra and illustrate the relationship between Reynolds operators and derivations on an $n$-Lie algebra. We give the cohomology theory of Reynolds operators on an $n$-Lie algebra and study infinitesimal deformations of Reynolds operators using the second cohomology group. Then we introduce the notion of NS-$n$-Lie algebras, which are generalizations of both $n$-Lie algebras and $n$-pre-Lie algebras. We show that an NS-$n$-Lie algebra gives rise to an $n$-Lie algebra together with a representation on itself. Reynolds operators and Nijenhuis operators on an $n$-Lie algebra naturally induce NS-$n$-Lie algebra structures. Finally, we construct Reynolds $(n+1)$-Lie algebras and Reynolds $3$-Lie algebras from Reynolds $n$-Lie algebras and Reynolds commutative associative algebras respectively.