Sheppard was Player of the Year in Georgia in 1993 at McIntosh High School in Peachtree City.
At 6'3", he played guard for the University of Kentucky (1993-1998). He was named Most Outstanding Player in the NCAA Tournament in San Antonio, Texas in 1998 where he helped Kentucky defeat Utah in the Championship game. He played on two NCAA National Championship teams at the University of Kentucky under Rick Pitino in 1996 and under Tubby Smith in 1998.
After success in college, he played briefly in the National Basketball Association with the Atlanta Hawks during the 1998-99 season, averaging 2.2 points and 1.2 rebounds in only 18 games. He has since played professionally in Italy with Benetton Treviso (1999-00) (won the Italian Cup), Cordivari Roseto (2000-01) and Würth Roma (2001). He has since decided to retire from basketball.
Since retiring Sheppard has worked as the vice president for business development with Wazoo Sports, a regional television sports networking concentrating on sports in Kentucky.