Shao Jiayi started his football career in the 1999 league season playing for top tier side Beijing Guoan where then manager Shen Xiangfu promoted him to the first team. Despite a change in management with Milovan Đorić and Wei Kexing coming in the following season, Shao gradually started to establish himself as regular within the team and due to his commanding presence in centre midfield, he was touted as one of the most exciting players in Chinese football. He then helped guide the club to the 2000 Chinese FA Cup final where they lost 4-2 on aggregate against Chongqing Lifan. After his breakout 2000 season, Shao became 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, losing 4-1 on aggregate.
After playing in the 2002 FIFA World Cup, Shao gathered enough attention to impress Bundesliga side 1860 Munich, who signed him on four-year loan deal from Beijing. A permanent transfer was made on 14 January 2003, reported to be approximately €1.3 million. Shao played there for two and a half seasons before transferring to Energie Cottbus, signing a three-year contract on 13 July 2006.
On 13 December 2011, Shao returned to the Chinese Super League to rejoin his former club Beijing Guoan after playing nine years in Germany. On 29 October 2015, Shao announced that he had decided to retire from football.
Shao's performances with Beijing Guoan led to him being called up by then manager Bora Milutinović to the Chinese national team and was included in the squad that placed fourth in the 2000 AFC Asian Cup. Shao found more success with the national team when he was included in the squad that secured qualification for the 2002 FIFA World Cup. At the tournament, he played in two games while China were knocked out of the group stage. Shao was also a key player for the national team in the 2004 AFC Asian Cup where he scored three goals during the tournament which led China to finish as runners-up.