In multivariate statistical process control (MSPC), when there is a limited knowledge or there is no knowledge about the underlying process distribution, nonparametric control charts are useful. This paper introduces a new powerful multivariate depth-based control chart for online monitoring of location parameters in MSPC. Actually, by incorporating the exponentially weighted moving average control scheme, the weighted version of a well-known multivariate depth-based test statistic is used to formulate the new charting statistic. The methodology is based on adapting the intended charting statistic to the online sequential monitoring of the location parameters. The proposed control chart is affine-invariant and has a conditional distribution-free property over the class of elliptically symmetric distributions. This control chart is also very efficient in detecting small or moderate shifts in the process location parameter, especially for large dimensions.