Forest scored twice within three minutes to retake a lead they had previously wasted earlier on in the game.
Forest took the lead within the first 10 minutes as record summer signing Assombalonga nodded home an Henri Lansbury free kick to put the pressure on Fulham.
McCormack curled in a free kick on the half-hour mark to give the visitors hope going into half time.
Fulham equalised after the break as a lofted through-ball from Fernando Amorebieta was expertly volleyed by Rodallega into the bottom corner to leave the Forest goalkeeper stranded.
Fulham then looked to have completed the comeback from being two goals down as McCormack bagged his second of the game thanks to an assist from Rodallega.
Forest netted twice in quick succession with 10 minutes remaining to retake the lead, with Antonio getting on the score sheet and Assombalonga to nod in his third.
Nottingham Forest now remain unbeaten in their last nine games in all competitions and go to the top of the Championship table, while Fulham stay bottom with just a point.