We calculate the nonequilibrium local density of states on a vibrational quantum dot coupled to two electrodes at T=0 using a numerically exact diagrammatic Monte Carlo method. Our focus is on the interplay between the electron-phonon interaction strength and the bias voltage. We find that the spectral density exhibits a significant voltage dependence if the voltage window includes one or more phonon sidebands. A comparison with well-established approximate approaches indicates that this effect could be attributed to the nonequilibrium distribution of the phonons. Moreover, we discuss the long transient dynamics caused by the electron-phonon coupling.