After receiving a scholarship from the Nikolais/Louis Dance Lab, he moved to New York City in 1995, where he formed Shen Wei Dance Arts in 2000.
Shen's work has been commissioned by the American Dance Festival (1995, 2000-2006), Het Muziektheater (2003, 2005), Lincoln Center Festival (2005), Alvin Ailey Dance Theater II (1996), Hawaii's Dances We Dance Company (1998), the Margrit Mondavi Center for Performing Arts at the University of California, Davis (2006), and the Guangdong Modern Dance Company (2000). His dance opera work, Second Visit to the Empress, was jointly commissioned by the American Dance Festival, the New York City Opera and the Het Muziektheater. In 2008, Shen Wei also contributed to the opening ceremonies of the 29th Olympiad in Beijing.
He also designs the sets, costumes, and makeup for each of his company's productions, creating a remarkable performance space that is variously described as a canvas, landscape, or parallel universe. The New York Times hailed Shen's vision as "painterly, mathematical and idiosyncratic...imagery and conceptualism with a difference."
As an independent visual artist, Shen is a painter, designer, and filmmaker. The paintings he created in conjunction with his ballet The Rite of Spring were exhibited at the company's 2003 Lincoln Center Festival debut and at the 2006 Hong Kong New Vision Arts Festival.