The recently proposed affine frequency division multiplexing (AFDM) waveform can adjust the time-frequency diversity gain by tuning chirp-rate parameter. Therefore, it is a candidate waveform in doubly-selective channels. This letter reveals that the modulation-symbol-domain shaping pulse of AFDM is generated by a convolution-like operation between the time-domain and frequency-domain shaping pulses, indicating that the modulation-symbol-domain pulse shaping of AFDM can be achieved by separately shaping in the time domain and frequency domain. Based on this, this letter presents an AFDM modulation-symbol-domain pulse shaping transceiver which has an ability to achieve the Nyquist pulse shaping, and provides the corresponding input-output relationship. Numerical results demonstrate the effectiveness of the proposed transceiver in improving the channel sparsity and pilot-to-data interference.