She graduated from the University of Edinburgh in 1976 before gaining a postgraduate certificate in radio, film and television studies from the University of Bristol. Whilst at university in Edinburgh, she had a relationship with then-Rector Gordon Brown. She also co-founded the Edinburgh Festival Fringe newspaper Festival Times with Garfield Kennedy.
In 1978 she began her professional broadcasting career as a producer and presenter at BBC Radio Scotland. She switched to television in 1981 as a presenter and newsreader at STV, then went freelance in 1986, moving on to anchor such national radio and television news programmes as The World at One, Channel 4 News, The World This Week, After Dark and International Question Time and, in 1995, she received the first-ever 'Woman in Film and Television' Award.
In February 1999 she was struck by a police van on its way to a 999 call in Clerkenwell, London. She sustained head injuries, and it was almost five years before she returned to broadcasting, in a biographical documentary in which she spoke of her recuperation process and coming to terms with the psychological effects of her injury.
McDonald is married to the journalist Alan Little.
- Right to Reply (1982-2001)
- Scotland Today (1984–1987)
- Votes for woman (1988) 14 episodes
- The World This Week (1989–93)
- Scottish Women (1989–1992)
- Fighting Talk, (1991)
- Gimme Health, (1994)
- House to House (1995–98) 
- Powerhouse (1998)
- Brain Injury - The Road to Rehabilitation (2002)
- Channel 4 news
- Brian Wheeler The Gordon Brown story, BBC News, 27 June 2007
- CastleFM application for the Edinburgh Radio Licence, 2004; page 7
- Sheena McDonald, Am I still me?, BBC News, 16 January 2004
- Sheena McDonald Q&A Follow-up to Who am I now?, broadcast in Storyville, BBC Four, 1 August 2004
- Talking Point Teachers TV
- Cable, Amanda (13 November 2010). "Broadcaster Sheena McDonald:"Why the scars from my accident still haven't healed"". Daily Mail Online. Retrieved 30 October 2014.