Stem cells can alter their shapes and functions in response to the physical cues at the cell–substrate interface or the chemical signals in the culture environment. In this study, the surface nanoroughness, as a physical cue in the form of the beads-on-string features on polymer nanofibers, was fabricated through an electrospinning technology, and simultaneously dexamethasone (DEX), an osteogenic differentiation factor as a chemical signal, was incorporated into these nanofibers during this process. The morphology of the DEX-loaded nanofibers was observed with scanning electron microscopy (SEM). In vitro DEX release was carried out in PBS over a period of 29 days. The combination of the physical and chemical signals was also used to investigate the differentiation capability of rat bone marrow mesenchymal stem cells (rBMSCs) through SEM and fluorescence microscopy observation, alkaline phosphatase (ALP) activity assay, Alizarin Red S staining, quantification of mineral deposition and quantitative real-time PCR analysis. The results indicate that the DEX gradually released into the culture medium played a dominant role in promoting rBMSCs’ differentiation towards osteoblast-like cells, and the surface nanoroughness could play a supporting role in the differentiation. Therefore, this DEX-loaded polymer nanofiber scaffold with moderate surface nanoroughness has great potential application in bone tissue regeneration.