The effect of multiplex shear stress on the cell nucleation during microcellular foaming process was investigated using a dynamic foaming experimental apparatus. The multiplex oscillatory shear, which is different from previous one-dimensional screw shear in a “stable” extrusion foaming process, is applied to the polymer melt through an axially vibrated rotor. The experimental results show that, by superimposing an axial vibration on the rotating rotor, the cell density increases and cell size decreases significantly when the shear rate is low. Both the uniformity of cell size and cell distribution are improved under vibration when compared with that without vibration regardless of how the shear rate changes. In addition, a simplified nucleation model based on shear energy has been carried out to qualitatively investigate the effect of both the simple steady shear and the multiplex oscillatory shear on the cell nucleation. Experiments and theoretical predictions all show that cell nucleation could be greatly improved by superimposing the oscillatory shear when the nucleation driving force induced by the steady shear is insufficient. Finally, the shear heat generated by excessive shear and strong vibration should be considered carefully although the isothermal condition was supposed in the present model.