Shehi began his career with local side Teuta as a teenager aged 12,[2] and made his professional debut for the club in the Kategoria Superiore during the 1994–95 campaign.

Overall, he ended up making 9 league appearances as his side finished in mid-table, as well as reaching the quarter-final of the Albanian Cup, narrowly being eliminated by KS Lushnja.

He joined Bylis on loan ahead of the 1997–98 season, and was an integral part of the club's highest finish, as they reached third place, just two points behind the eventual winners KF Tirana.

He helped the club reach Europe for the first time in their history, and they were tied against Slovakian side FK Senica, to whom they lost 5–1 on aggregate, with Shehi playing in both games.

Upon his return to Teuta, Shehi immediately went back into the first team and played every game in the league, helping his side finish in third place, just 3 points behind top spot.

He was also part of the Albanian Cup winning team, and played in the final against KS Lushnja which Teuta won 5–4 on penalties after a goal-less draw.

In the UEFA Cup, Teuta were drawn against Austrian club Rapid Vienna, as Shehi captained his side to a 6–0 aggregate loss.

[10][11] Following the arrival of Alfred Osmani ahead of the 2003–04 season, Shehi faced greater competition, and Teuta struggled somewhat and only managed a mid-table finish.

[19] He also made 7 cup appearances, including captaining the team in the final, which saw Besa lift the trophy after earning a 2–1 overturn win over Vllaznia at Qemal Stafa Stadium.

[28] On 6 December 2014, in the 3–2 league win against Teuta at home, Shehi scored his first professional goal by netting a penalty kick in the 41st minute.

On 14 March 2016, in the match against title rivals Partizani, Shehi, despite making a high-profile error which resulted in a goal by Stevan Račić early in the game, saved a penalty-kick from him in the 77th minute, allowing Skënderbeu to level the score in the last moments.

[38] In July 2017, Shehi expressed his intention to retire after the club's UEFA Europea League campaign, after rumours linking Enea Koliçi with a possible transfer in Korçë.

[39][40] On 3 August 2017, in the returning leg of 2017–18 UEFA Europa League third qualifying round against Mladá Boleslav, Shehi made some crucial saves in the second half to help Skënderbeu win 2–1.

[47] On 18 March 2018, Shehi was injured during the league match versus Luftëtari and was replaced at 63rd minute; he suffered a knee ligament injury that will keep him sidelined for at least a month.

[51] Shehi was capped for the first time in international level with the Albania national under-16 football team, making his debut in the 1994 UEFA European Under-16 Championship against Liechtenstein in a 1–0 win.

[52][53] Shehi was first approached to the senior team in September 1998 by then-coach Astrit Hafizi for the UEFA Euro 2000 qualifying fixture versus Georgia.

[54] Shehi's good run with Skënderbeu in the 2010–11 season earned him a return to the national team after more than a decade, receiving a call-up by manager Josip Kuže as a replacement for the injured Arjan Beqaj for the friendly against Macedonia on 17 November 2010.

[57] He served as the third goalkeeper, sitting on bench during the whole qualifiers as Albania failed to secure a spot to the 2014 FIFA World Cup by finishing 5th in Group E.[58][59] In March 2014, he became the second choice following the departure of Samir Ujkani to represent the newly accepted Kosovo national team.