The new types of conserved quantities, which are directly induced by Lie symmetry of nonholonomic mechanical systems in phase space, are studied. Firstly, the criterion of the weak Lie symmetry and the strong Lie symmetry are given. Secondly, the conditions of existence of the new type of conserved quantities induced by the weak Lie symmetry and the strong Lie symmetry directly are obtained, and their form is presented. Finally, an Appell–Hamel example is discussed to further illustrate the applications of the results.