Among his works are the ballets The Little Humpbacked Horse (1955), Carmen Suite (1973), Anna Karenina (1971, based on the novel by Leo Tolstoy), and Lady with a Lapdog (1985); the operas Not Only Love (1961), and Dead Souls (1976, after Nikolai Gogol's novel); piano concertos, symphonies, chamber, and piano music and other works.

On 5 May 1974, Shchedrin performed as soloist in all three of his then-completed piano concertos, and the concert, with the USSR Symphony Orchestra conducted by Yevgeny Svetlanov, was recorded and released on LP, then CD.

Since the collapse of the Soviet Union, Shchedrin has taken advantage of the new opportunities for international travel and musical collaboration, and now largely divides his time between Munich and Moscow.

He and his wife attended the concerts which included his Russian liturgy The Sealed Angel for choir and flute, performed in Eberbach Abbey.

His chamber music included Ancient Melodies of Russian Folk Songs (2007) with the cellist Raphael Wallfisch and himself at the piano, and Meine Zeit, mein Raubtier with tenor Kenneth Tarver and pianist Roland Pontinen who performed it also at the Verbier Festival.