In this paper, a novel nonlocal anisotropic elastic shell model is developed to investigate the nonlinear vibrations of double-walled carbon nanotubes (DWCNTs) in the framework of Sanders-Koiter shell theory. Van der Waals interaction forces between the two concentric single-walled carbon nanotubes (SWCNTs) composing a DWCNT are modelled via Lennard-Jones potential and He’s formulation. In the linear vibration analysis, the displacement field of each SWCNT is expanded by means of a double mixed series in terms of Chebyshev orthogonal polynomials along the longitudinal direction and harmonic functions along the circumferential direction, and Rayleigh–Ritz method is considered to get approximate natural frequencies and modal shapes. In the nonlinear vibration analysis, the three displacements of each SWCNT are re-expanded by means of the approximate eigenfunctions derived in the linear analysis, and an energy approach based on Lagrange equations is adopted to obtain a set of nonlinear ordinary differential equations of motion, which is then solved numerically. Molecular dynamics simulations are performed in order to calibrate the proper value of nonlocal parameter to be inserted in the constitutive equations of the proposed elastic continuum model. A simplified linear distribution of van der Waals interaction forces is initially adopted to analyse the nonlinear vibrations of DWCNTs, obtaining a hardening nonlinear behaviour. By considering a more realistic nonlinear distribution of van der Waals interaction forces, a stronger hardening nonlinear behaviour is found.