We report the analytical nuclear gradient theory for complete active space second-order perturbation theory (CASPT2) with imaginary shift, which is commonly used to avoid divergence of the perturbation expression. Our formulation is based on the Lagrangian approach and is an extension of the algorithm for CASPT2 nuclear gradients with real shift. The working equations are derived and implemented into an efficient parallel program. Numerical examples are presented for the ground- and excited-state geometries and conical intersections of a green fluorescent protein model chromophore, p-HBDI-. We also report timing benchmarks with adenine, p-HBDI-, and iron porphyrin. It is demonstrated that the energies and geometries obtained with the imaginary shift improve accuracy at a minor additional cost which is mainly associated with evaluating the effective density matrix elements for the imaginary shift term.