We present a new functional space suitable for nonlocal models in Calculus of Variations and partial differential equations. Our inspiration are the Bessel spaces H s,p (R n ), which can be regarded as the completion of C ∞ c (R n ) functions u under the norm u p + D s u p . Here D s u is Riesz' s-fractional gradient (with 0 < s < 1) and 1 ≤ p < ∞ is the integrability exponent. Having in mind models in which it is essential to work in bounded domains Ω of R n , we define a truncation D s δ u of Riesz' fractional gradient, where δ > 0 represents the interaction distance (horizon, in the terminology of Peridynamics), so that D s δ u(x) is determined by the values of u in the ball of centre x ∈ Ω and radius δ. The corresponding functional space is defined as the completion of C ∞ c functions under the natural norm u p + D s δ u p . We prove a nonlocal fundamental theorem of Calculus, according to which u can be expressed as a convolution of D s δ u with a suitable kernel. As a consequence, we show inequalities in the spirit of Poincaré, Morrey, Trudinger and Hardy. Compact embeddings into L q spaces are also proved. As an application of the direct method of Calculus of Variations, we show the existence of minimizers of the associated energy functionals under the assumption of convexity of the integrand, as well as the corresponding Euler-Lagrange equation.