Born in Hunan province in 1968, the son of Chinese opera professionals, Shen was trained as a child to become a Chinese opera performer. He also learned traditional Chinese ink painting and calligraphy. During his student years, he studied Western visual art, which propelled an interest in modern dance.
In 1989, he began modern dance training at the American Dance Festival's program at the Guangdong Dance Academy in China. In 1991 he became a founding member of the Guangdong Modern Dance Company.
Upon receipt of a fellowship, he moved to New York in 1995. In July 2000, he founded Shen Wei Dance Arts and his company quickly entered the international touring circuit by performing in over 30 countries.
He served as the lead choreographer for the Opening Ceremonies of the 2008 Beijing Olympics. He choreographed the beautiful dance piece, Scroll Painting, in which dancers performed on a constant changing LED scroll of Chinese ink-and-wash paintings, depicting the evolution of China since ancient times.
As a painter, Shen has held solo exhibitions in leading galleries and museum.