Sheh signed on with TVB in 1998 after she was second runner-up in the 1997 Miss Hong Kong Pageant. The early stage of her career was often characterized by her coy, squeaky voice and criticism of her acting skills. However, Sheh overcame these problems and made her breakthrough in in Return of the Cuckoo in 2000, co-starring with Nancy Sit, Julian Cheung and Steven Ma. Since then, Sheh has grown over the years to be a highly acclaimed and well-revered actress in Hong Kong.
In 2006, she became the first TVB actress to win two major awards at the TVB Anniversary Awards, clinching the Best Actress Award and My Favourite Female TV Character for her performance in Maidens' Vow. She also won the Top Four Actresses Award with Ruby Lin, Zhao Wei and Liu Yifei. Sheh was the first Hong Kong TV actress to be shortlisted for the semi-finals of the Best Actress category at the 35th International Emmy Awards in 2007.