Sheppard was the first overall selection by the Cape Breton Screaming Eagles, the last piece to a multi-faceted, multi-season trade between the Eagles and the Halifax Mooseheads. Sheppard made the Eagles out of training camp in his first season, immediately being thrust into a key role on a rebuilding squad. Sheppard shone, with his blend of smooth puck-handling skills and physicality, playing on the team’s second line, and finishing fourth in team scoring with 45 points. His mere 14 goals was a bit disappointing, but he made up for it by rounding his game, playing in all situations, and gaining great experience along the way.
Sheppard entered his second season as likely being the first Quebec League player to be selected in the 2006 Entry Draft, and in the short term, was expected to carry the Eagles squad in the 2005-06 season. Much to his chagrin, Sheppard stumbled out of the blocks, going goalless through his first seven games, before turning it around mid-October. There was not a point when he really put his game into high gear over the course of the season, but put forth a very consistent string of performances to put up a strong offensive season, finishing his sophomore campaign with 84 points in 66 games, good enough for second on the team in scoring, helping to lead the Screaming Eagles into the playoffs. He took on a bigger leadership role with the club after the departure of Pittsburgh prospect Stephen Dixon and Guillaume Demers the previous season, and will be counted on even moreso for his experience next season as overager Kevin Asselin moves onto future endeavors. Sheppard was one of ten QMJHL participants in the CHL Top Prospects game in January, picking up an assist.