McShane was born on September 29, 1942 in Blackburn, Lancashire, England. He studied at Stretford Grammar School. He was married to Suzan Farmer from 1965 until they divorced in 1968. Then he was married to Ruth Post from 1970 until they divorced in 1976. He has been married to Gwen Humble since 1980. He was partners with Sylvia Kristel from 1977 until they split up in 1982. He has two children by Post.