I will present a recent work on variational problems involving nonlocal energy functionals that appear in nonlocal mechanics. The well-posedness of variational problems is established via a careful study of the associated energy spaces, which are nonstandard. I will discuss some difficulties in proving fundamental structural properties of the function spaces such as compactness. For a sequence of parametrized nonlocal functionals in suitable form, we compute their variational limit and establish a rigorous connection with classical models.