Sheldon is of Indigenous Australian heritage and his tribal ancestry can be traced to the Wemba-Wemba.[2] He also grew up in Echuca, where he attended St Joseph's College from year 7 and 8.
His father is Ken Sheldon who played for Carlton and then for St Kilda in a career which included three premierships with Carlton in 1979, 1981 and 1982.[4]