Black hole shadow and gravitational lensing play important roles in testing gravitational theories in the strong field regime. As the first-order modifications from quantum gravity, the nonlocality can be manifested by black hole shadow and gravitational lensing. For example, the nonlocal parameter introduced by nonlocality will affect the shape and size of the black hole shadow, and also affect the deflection angle of light rays. In this paper, we mainly investigate the effects of the nonlocality on the black hole shadow and the gravitational lensing for two types of rotating black holes in nonlocal gravity. It is found that the size of the black hole shadow decreases with the nonlocal parameter since the nonlocality weakens the gravitational constant, and the shape of the shadow becomes more deformed with the increase in the nonlocal parameter. However, if the rotation parameter is small, the shape of the shadow is almost a circle even though the nonlocal parameter approaches its maximum. The energy emission rate in both models is also studied. The results show that there is a peak for each curve and the peak decreases and shifts to the low frequency with the increase in the nonlocal parameter. In addition, we also explore the shadow of both types of black holes surrounded by a nonmagnetized pressureless plasma which satisfies the separability condition. It is found that the plasma has a frequency-dependent dispersive effect on the size and shape of the black hole shadow. For the gravitational lensing, we find that the nonlocal parameter of model A makes a positive contribution to the deflection angle, which can be compared with the contribution of the rotation parameter, while the nonlocal parameter of model B makes a negative contribution which can be ignored. These results may be helpful for probing nonlocal gravity in future observations.