She is best known for her roles in Return of the Cuckoo (2000), War and Beauty (2004), Maidens' Vow (2006), Forensic Heroes II (2008), Beyond the Realm of Conscience (2009), Can't Buy Me Love (2010), When Heaven Burns (2011), Line Walker (2014), Story of Yanxi Palace (2018) and The QUEEN of News (2023).

However, Sheh overcame these shortcomings and made her breakthrough in Return of the Cuckoo in 2000, co-starring with Nancy Sit, Julian Cheung and Steven Ma.

Sheh returned to the small screen in 2014, playing the undercover cop Ting Siu Ka (丁小嘉) in Line Walker, earning critical acclaim.

In 2018, Sheh was highly praise for her profound portrayal of Hoifa-Nara Shushen (嫻妃) in the Chinese period drama Story of Yanxi Palace.

In 2023, Sheh portrayed the ambitious and scheming anchorwoman Man Wai-sum (文慧心) in The Queen of News, again earning critical acclaim.