After leading Wichita to back-to-back CHL championships in 1993-94 and 1994–95, Shedden coached several teams in UHL, CHL and ECHL before becoming the head coach for St. John's Maple Leafs of the AHL, where he guided the team to their best record for wins in franchise history in their final year in St. John's.

Shedden's single season at the helm of HIFK was good and the team fought its way to the bronze medal game.

[2] In October 2014, Shedden took over the reins at Medveščak Zagreb of the Kontinental Hockey League (KHL)[3] and parted ways with the team at the end of the 2014–15 season.

He returned to Switzerland, accepting the head coaching job at NLA side HC Lugano in October 2015.

[5] He was appointed as ERC Ingolstadt head coach on December 22, 2017, signing a deal for the remainder of the 2017–18 season with the German DEL team.

[6] During his time at Jokerit, Shedden was also contracted by the Finnish National Team as head coach to replace Erkka Westerlund.

Shedden's one-year contract ended after 2008 World Championships and he was replaced by his assistant coach, Jukka Jalonen.