According to Frances Ingram, in an extensive article on Shepperd in "Classic Images" (October, 2008), two of Shepperd brothers, Clement and Edmund, became artists and one of them, Edmund, was commissioned to paint a portrait of Eleanor Roosevelt.
The athletic-oriented actor enjoyed swimming and tennis along with reading (Hemingway and Steinbeck were his favorite authors).
Another member of his college dramatic club the Carolina Playmakers was bandleader Kay Kyser. He and Sheppard remained friends long after both made it to Hollywood.