The M-Z interferometer with gratings or multilayer mirrors is widely used in the X-ray laser plasma diagnoses; however, this system is difficult to adjust, and results in the low success rate in experiment. Since wavefront shearing interferometers do not need a separate reference wavefront, they have inherent advantages compared with conventional interferometers. But the absence of shearing element for soft X-ray has restrained the application of the shearing interferometry in soft X-ray measurement. In this paper, a new-structured double-frequency grating was proposed and fabricated that served as the shearing element for soft X-rays, which can promote the application of shearing interferometers in the X-ray laser plasma diagnoses. The diffraction characteristics of the double-frequency grating are analyzed and tested in the synchrotron radiation beams. It is found that the intensity ratio of the two working diffracted beams is over 75%, and the intensity ratio of the rest diffracted beam to the working beam is less than 5%. An X-ray shearing interferometer using a double-frequency grating with 1000 lines/mm and 1002.5 lines/mm gratings was set up, and a clear shear interferogram was obtained. The experimental results demonstrated that the soft X-ray shearing interferometer using double-frequency grating can be applied in the X-ray laser plasma diagnoses.