Shepherd was born in Shreveport, Louisiana. He graduated from Caddo Magnet High School in Shreveport. He is "completely self-taught", and does not read music. Growing up, Shepherd's father (Ken Shepherd) was a local radio personality and some-time concert promoter, and had a vast collection of music. Shepherd received his first "guitar" at the age of three or four, when his grandmother purchased a series of several plastic guitars for him with S&H Green Stamps, which Shepherd has said he would "go through like candy".
Shepherd stated in a 2011 interview that he began playing guitar in earnest at age seven, about six months after meeting and being "pretty mesmerized" by Stevie Ray Vaughan, Labor Day weekend in 1984, at one of his father's promoted concerts. His self-taught method employed a process of learning one note at a time, playing and rewinding cassette tapes, using "a cheap Yamaha wanna-be Stratocaster ... made out of plywood, basically", and learning to play by following along with material from his father's record collection.
Blues musician Bryan Lee invited 13 year old Shepherd to play guitar onstage. He subsequently made demo tapes, and a video was shot at Shepherd's first performance at the Red River Revel Arts Festival in Shreveport. It was this video performance that impressed Giant Records chief Irving Azoff enough to sign Shepherd to a multiple album record deal.