With John Foster, a Baptist minister in Frome for a period from 1804, Sheppard developed a close friendship.
During two years' residence at Edinburgh he formed friendships with Thomas Chalmers and John Pinkerton.
In 1823 Sheppard published his Thoughts preparative or persuasive to Private Devotion, which went through five editions in as many years.
[2] In February 1838, he talked with a friend, Thomas Bunn and told him he was experiencing considerable disquiet ‘about fixing the professional destination of his only son’.
Bunn believed that Walter possessed ‘the best principles and dispositions’, and was ‘an agreeable person’ with ‘a good capacity and health’.