Consolidation of spatial and episodic memories is thought to rely on replay of neuronal activity sequences during sleep. However, the network dynamics underlying the initial storage of memories during wakefulness have never been tested. Although slow, behavioral time scale sequences have been claimed to sustain sequential memory formation, fast ("theta") time scale sequences, nested within slow sequences, could be instrumental. We found that in rats traveling passively on a model train, place cells formed behavioral time scale sequences but theta sequences were degraded, resulting in impaired subsequent sleep replay. In contrast, when the rats actively ran on a treadmill while being transported on the train, place cells generated clear theta sequences and accurate trajectory replay during sleep. Our results support the view that nested sequences underlie the initial formation of memory traces subsequently consolidated during sleep.