I mean that PCManFM and Thunar follow my theme:


Nautilus does not:

I have to add that I do not want to change my present theme. And I guess that is the problem, as it does not have a gtk3 folder included.
I mean that PCManFM and Thunar follow my theme:


Nautilus does not:

I have to add that I do not want to change my present theme. And I guess that is the problem, as it does not have a gtk3 folder included.
Go to Preferences → Customize Look and Feel from the menu
Change the theme to Lubuntu-default in widget tab. It will make nautilus to look good and compatible with other Lubuntu apps
If you don't want to change your theme, I fear it is not possible to workaround this. Because, nautilus version 3.0 or greater requires gtk-3 themes, which your currently active theme surely is not supporting.
If you really want to have nautilus to be compatible with the installed theme, I would suggest you to contact theme developer for a request to implement gtk-3 theme in this one. If you are good with css and javascript and feel interested, I think you may yourself try to implement the theme in gtk-3. See this themeing guide for help.
Nautilus is gtk3. Thunar is gtk2. I don't know about the third. Ensure that the theme you use has a gtk-3.0 folder if you want Nautilus to be styled as well.
Your theme may be in ~/.themes or in /usr/share/themes (which is where they're located in Ubuntu 12.04.)
The Ambiance theme, for example, is here: /usr/share/themes/Ambiance. Within are the following:
[03:04 PM] /usr/share/themes/Ambiance $ ls
gtk-2.0 gtk-3.0 index.theme metacity-1 unity
The presence of the gtk-3.0 folder ensures that apps based on gtk3 will be styled correctly.
Edit: I suspect that most software from GNOME will be gtk3. Other things like Chrome, Firefox, LibreOffice still are gtk2.
Anyway, as the other answer also suggested:
Nautilus is gtk3: use a gtk3 theme if you want a gtk3 program to be themed.
(In order to use a theme that does not have gtk3 support: a not very recommendable workaround is to copy the gtk3 folder from a theme that has it into the folder of the one that does not. In fact, in Lubuntu, one can extract and copy themes in home/username/.themes in order to install them, a location which does not require root privilege. But some applications like Synaptic Manager require a theme in usr/share/themes: see this question.)