Microelectromechanical systems (MEMS) are widely used in the navigation field due to their low cost and easy integration. Its low positioning accuracy restricts its expansion into the high-end navigation field. To improve the performance of MEMS inertial devices, this paper proposes a nested Kalman fusion (NKF) for MEMS gyroscope array data fusion applied to the virtual gyroscope. First, the algorithm processes the raw gyroscope array data through Kalman filtering. Secondly, the obtained filtered array data converge as a virtual gyroscope by support degree data fusion—the NKF experimental data collected by the actual test. The experimental results show the zero-bias instability, angular random walk and rate ramp of the original data are improved by 10.64 dB, 12.45 dB and 10.26 dB, respectively, by the NKF algorithm. NKF can adjust the gyro parameters by about 6 dB in comparison with existing MEMS optimization algorithms.