waves are a special type of wave packet that can maintain their transverse profile of shape during propagation, and they are of much interest for the study of fundamental physics and practical applications. Here we present a scheme to generate nonlinear waves and realize their active control by using a cold gas of Rydberg atoms via electromagnetically induced transparency (EIT). We show that, due to the EIT effect contributed by a control laser field and the strong, nonlocal Kerr nonlinearity contributed by Rydberg-Rydberg interaction between atoms, the system supports high-dimensional, nonlocal, and nonlinear optical waves, which have low propagation loss, ultraslow propagation velocity, and ultralow generation power. We also show that the stability domain of such waves can be greatly enlarged by increasing the nonlocality degree of the Kerr nonlinearity, and their motion trajectory can be manipulated by using an external magnetic field. Our study opens a route for generating and controlling nonlocal ultraslow nonlinear optical waves, which may have promising applications in optical information processing and transmission.