She entered Philippine show business through the first wave of StarStruck, the reality-based star search of GMA Network. She was one of finalists, dubbed as the Final 14. Halili, together with those who were eliminated during the course of the show, are now known as Starstruck Batch 1 Avengers. She was linked with her co-survivor Rainier Castillo but it was later confirmed that they really dated after the show. She also starred in a commercial for Head & Shoulders where she was partnered with Alvin Aragon.
She considers her role in the show MariMar as her biggest break on television. She also appeared as Cynthia in Ako si Kim Sam Soon and in LaLola as Vicky. She was also seen in the action show Zorro. After working on Zorro, her next project was Rosalinda wherein she played Becky, Rosalinda's best friend. Halili got her first lead role as Pepper in SRO Cinemaserye: Reunion with Jennica Garcia. She was also reunited with ex-boyfriend Rainier Castillo in Prime time via Full House.
Sheena had her 1st Christian Telemovie "Tanikala: Ang Ikalawang Libro" with co-star & former StarStruck Alumni Mike Tan which was aired on GMA Channel 7, and was co-produced by CBN Asia, Inc.. It was featured during Holy Week 2010.
Sheena is also one of the news anchors in a new comedy news program, May Tamang Balita which airs every Thursday nights on GMA News TV (Formerly QTV 11). She also plays one of the major supporting characters in Amaya.