We consider a nonlinear pseudo-differential equation driven by the fractional $p$-Laplacian $(-Delta)^s_p$ with $sin(0,1)$ and $pge 2$ (degenerate case), under Dirichlet type conditions in a smooth domain $Omega$. We prove that local minimizers of the associated energy functional in the fractional Sobolev space $W^{s,p}_0(Omega)$ and in the weighted Holder space $C^0_s(overlineOmega)$, respectively, do coincide.