Shao Jiayi started his professional football career in the 1999 season, playing for his local top tier football club Beijing Guoan when the club's manager Shen Xiangfu promoted him to the senior team. Despite a change in management with Milovan Đorić and then Wei Kexing coming in the following season, Shao would gradually start to establish himself as regular within the team and due to his commanding presence in the centre of midfield, he was touted as one of the most exciting players in Chinese football. He would then help guide Beijing to the Chinese FA Cup final where they lost to Chongqing Lifan. After his breakout season with Beijing, Shao would become a vital member of the team's midfield and once again helped guide the club to another Chinese FA Cup final in 2001 where this time they faced Dalian Shide, however once again the club lost the match.
After playing in the 2002 FIFA World Cup, Shao gathered enough attention to impress Bundesliga side 1860 Munich who signed him on a loan deal from Beijing Guoan. Shao played there for two and a half seasons before transferring to Energie Cottbus. He scored his first goals for Energie Cottbus at home against Hertha BSC and away to Borussia Dortmund after coming on as a substitute in both matches. He came on as a substitute in the 84th minute in an away game against Bayer Leverkusen and equalized for his side with a header. Shao became a regular starting for Energie Cottbus in his final two seasons with Energie Cottbus and scored many vital goals for them.
Shao's performances with Beijing Guoan led to him being called up by Bora Milutinović to the Chinese national team and was included in the squad that placed fourth in the 2000 AFC Asian Cup. Shao would find more success with the national team when he was included in the squad that secured qualification to the 2002 FIFA World Cup. At the tournament, he played in two games while China were knocked-out of the group stages. Shao was also a key player for the national team in the 2004 AFC Asian Cup when he scored three goals during the tournament that led to China being runner-ups.