Shepherd was born in Chicago, Illinois, to Lawrence A. Shepherd (b. 1943) and LaVerne Shepherd (1941–1991), as the eldest of three sisters. When she was 11, her family moved to Hoffman Estates, a Chicago northwest suburb.
In 2001, Shepherd married comedian Jeff Tarpley (also referred to as Jeff T. Aware). Their only child was born in April 2005. Previously, Shepherd had announced that she had expected to have fraternal twins (one boy, one girl), but miscarried her daughter, and instead gave birth three months prematurely.The couple separated in 2006 and divorced in 2009 after she discovered he was having an affair, an event that inspired her sitcom Sherri.
Shepherd got engaged on December 26, 2010, to TV writer Lamar Sally, whom she had been seeing for over a year. They were wed on August 13, 2011 at the Fairmont Hotel in Chicago, Illinois. Shepherd's eight bridesmaids included The View co-host Elisabeth Hasselbeck, Niecy Nash and Community's Yvette Nicole Brown, and Kym Whitley and Shepherd's son Jeffrey Tarpley (from her previous marriage) walked her down the aisle.