Yes, you need police certificates from all the countries that you have lived for 6 months or more, after you turn 18 years old. Certificates shouldn't be older than 3 months at the time you submit it to your Visa Office. 

It is very easy to make certificate from Nepal. Just scan and send your passport, nagarikta, I-94 and send your parents to Police headquarter in Nepal. It will be done the very same day. 

Whereas for US, you need FBI clearance certificate that takes usually 6-8 weeks. So calculate your time and apply in advance. 

Goodluck.