He was born in 1845 in Worcestershire, the son of Dr Edgar Sheppard, Professor of Psychology at King’s College, Cambridge.
He married Mary Peters White, daughter of Richard White of Instow, in 1874, and they had two sons and one daughter. Their eldest son was Arthur Montagu Sheppard (born 1 October 1879). Their youngest son was Dick Sheppard (born 2 September 1880), who followed his father into the church.
He was educated at St John’s College, Oxford and graduated in 1873.
He was appointed:
- Minor Canon of Windsor 1878 – 1884
- Priest in ordinary to Queen Victoria 1882 – 1884
- Sub Dean of the Chapels Royal and Chaplain to the Household at St James Palace. 1884
- Chaplain to the Duchess of Cambridge 1885 – 1889
- Hon. Chaplain to Queen Victoria 1886 – 1900; to the Duke of Cambridge 1889 – 1904, and to King Edward VII 1901 – 1909
- Permanent Reader and Chaplain of the Chapel Royal, Whitehall 1886
- Chaplain, Order of St John of Jerusalem 1894
- Deputy Clerk of the Closet 1903 – 1910
- Sub Almoner 1910
- Domestic Chaplain to King George V and Queen Alexandra 1910
As Sub-Dean of the Chapel Royal to King Edward VII, he took part in the Coronation of King Edward VII and Queen Alexandra on 9 August 1902, and was invested as a Commander of the Royal Victorian Order (CVO) two days after the ceremony, on 11 August 1902.
- Fasti Wyndesorienses, May 1950. S. L. Ollard. Published by the Dean and Canons of St George's Chapel, Windsor Castle
- Yorkshire Post and Leeds Intelligencer – Wednesday 31 August 1921. p.5
- "Court Circular". The Times (36844). London. 12 August 1902. p. 8.
- "No. 27467". The London Gazette. 22 August 1902. p. 5461.
- Aberdeen Journal – Tuesday 23 June 1914. p.8