We investigate form factors of local operators in the multi-component Quantum Nonlinear Schrödinger model, a prototype theory solvable by the so-called nested Bethe Ansatz. We determine the analytic properties of the infinite volume form factors using the coordinate Bethe Ansatz solution and we establish a connection with the finite volume matrix elements. In the two-component models we derive a set of recursion relations for the "magnonic form factors", which are the matrix elements on the nested Bethe Ansatz states. In certain simple cases (involving states with only one spin-impurity) we obtain explicit solutions for the recursion relations.