The formation of multilamellar vesicles (MLVs) in the lyotropic lamellar phase of the system triethylene glycol mono n-decyl ether (C10E3)/water is investigated under large amplitude oscillatory shear (LAOS) using spatially resolved rheo-NMR spectroscopy and a combination of rheo-small angle light scattering (rheo-SALS) and conventional rheology. Recent advances in rheo-NMR hardware development facilitated the application of LAOS deformations in high-field NMR magnets. For the range of investigated strain amplitudes (10-50) and frequencies (1 and 2 rad s-1), MLV formation is observed in all NMR and most SALS experiments. It is found that the MLV size depends on the applied frequency in contrast to previous steady shear experiments where the shear rate is the controlling parameter. The onset of MLV formation, however, is found to vary with the shear amplitude. The LAOS measurements bear no indication of the intermediate structures resembling aligned multilamellar cylinders observed in steady shear experiments. Lissajous curves of stress vs strain reveal a transition from a viscoelastic solid material to a pseudoplastic material.