She grew up in Sheen in London, the second daughter of Margaret and Jack Davies, a bank manager. She attended the Richmond County School for Girls; wanting to be a journalist, she left school at 16 in order to train in shorthand and typing at the Anne Godden Secretarial College in Putney, where her mother was a teacher. These new skills obtained her an apprenticeship at the Kilburn Times. Having done work for the Sunday Mirror as a freelancer, Shan Davies, as she then was, started work at the Sunday People in 1976, eventually becoming Fleet Street's first female crime correspondent.
She met Hugh Lloyd in 1978, at Allen's, a famous restaurant in London's West End, while he was performing in No Sex Please, We're British. Hugh Lloyd was already dining there when his friend waved to Shan Lloyd as she was entering the restaurant. The two soon realized that they lived around the corner from one another. Hugh Lloyd, who was in his fifties at the time of their first meeting, had already been married and divorced three times by this time. In his autobiography, Hugh Lloyd described his future wife as "a scatty, blondehaired Fleet Street tabloid journalist". Hugh and Shan married in 1983. They moved to Worthing, West Sussex, in 2003.