Sheppard grew up in London, Kentucky and attended North Laurel High School. He became the starting shooting guard as a freshman and averaged 20.6 points per game. As a sophomore he led the state of Kentucky in scoring with an average of 30.1 points per game and was named the Gatorade Player of the Year in Kentucky during his junior season. He finished off his illustrious high school career by being named Kentucky's Mr. Basketball Player of the Year, finishing with 3,727 points, 1,214 assists and 1,050 rebounds.
Considered a top-50 prospect in the 2023 class, Sheppard selected Kentucky over offers from Louisville and Virginia. As a freshman at Kentucky his has been their best two-way player. Going into the NCAA tournament he is averaging 12.8 points, 4.3 rebounds and 4.5 assists.