 Shepard was born in New York City on October 13, 1876.His parents were Elliott Fitch Shepard (1833–1893), a prominent lawyer and banker, and Margaret Louisa Vanderbilt Shepard (1845–1924), eldest daughter of William Henry Vanderbilt and Maria Louisa Kissam.Shepard was educated at Westminster School in Simsbury, Connecticut, and started at Yale University in 1895.