The pair performed a brilliant long program that earned them several perfect 6.0's for both technical merits and presentation.

In the 2003–2004 season, competing for the first time under the Code of Points, they placed second at the 2003 Skate Canada and won the 2003 Cup of China.

Their attempt to win a third straight World title in 2004 was thwarted when Zhao fell during their short program and the team placed fourth in that segment.

Shen and Zhao won gold medals at the 2004 Skate Canada, at the 2004 Trophée Eric Bompard and at the 2004 Cup of China.

Overall they won the gold medal earning a total of 206.54 points, 19.22 ahead of Maria Petrova & Alexei Tikhonov, who placed second in both segments of the competition.

As a result, they set a new world record for the short program,[5] for the free skate and for the combined total score[6] under the ISU Judging System.

[citation needed] They missed the entire competitive season and were unable to return to the ice until weeks before the 2006 Winter Olympics in Turin, Italy.

They also won the 2006 NHK Trophy, where they also placed first in both the short program and the free skate earning 190.97 points, beating Pang Qing & Tong Jian by 8.13.

[7] They also won the free skate with 132.43 points, 10.72 ahead of Pang Qing & Tong Jian, who placed second in that segment of the competition.

Overall they scored a total 203.50 points and won by a 15.04-point margin of victory over silver medalists Pang Qing & Tong Jian.

[8] They returned to competition in the 2009–2010 season to compete in the 2010 Winter Olympics, and were assigned to 2009 Cup of China and 2009 Skate America in the 2009–2010 ISU Grand Prix series.

They also placed first in the free skate with another personal best of 138.89 points, 5.07 ahead of fellow second-place finishers Pang Qing & Tong Jian.

At the competition, they set new world records for the short program,[9] for the free skating and for the combined total[6] under the ISU Judging System.

[10] On 15 February 2010, in the pairs' free skating they came second with a new personal best score of 139.91 points, 1.90 behind Pang Qing & Tong Jian, who claimed the silver medal.

They became the first Chinese skaters in any figure skating discipline to win a gold medal at the Winter Olympic Games.

[14] Shen and Zhao's current and past sponsors include Nike, Visa, General Electric and Lenovo.

His current students include Wenjing Sui & Cong Han;[18] Peng Cheng & Zhang Hao;[19] Xiaoyu Yu & Yang Jin;[20] Gao Yumeng / Xie Zhong.