We study quantum feedback cooling of atomic motion in an optical cavity as a prototypical nonlinear quantum control problem. We design a feedback algorithm that can cool the atom to the ground state of the optical potential with high efficiency despite the nonlinear nature of this problem. An important ingredient is a simplified state-estimation algorithm, necessary for a real-time implementation of the feedback loop. We also describe the critical role of parity dynamics in the cooling process and present a simple theory that predicts the achievable steady-state atomic energies.