Shaeffe was educated at the Boston Latin School with his cousin Sir Isaac Coffin, 1st Baronet. His father died penniless in 1771 and his mother opened a boarding house to support her 10 children. One of the residents there was Lord Percy, later the 2nd Duke of Northumberland, the leader of the British forces in Boston during the American War of Independence. Lord Percy greatly aided the family during the War and was so struck by the qualities and the leadership potential of Shaeffe that he sent him to a military academy in London. Lord Percy became Shaeffe's lifelong friend and benefactor, purchasing his first commission as Ensign in 1778 in the 5th Regiment of Foot. He later purchased a lieutenancy.