He earned his third gold medal on the medley relay race. He was the final runner on the American team, running fully half of the 1600 metre race. He was passed the baton by fellow Irish American Athletic Club member John Baxter Taylor, Jr., who would become the first African-American to win an Olympic gold medal. Even without being in as good of form as he had been in the individual races, Sheppard had little trouble retaining the leads giving to him by his teammates, William Hamilton, Nate Cartmell, and John Taylor. The team won both the first round and final, in times of 3:27.2 and 3:29.4. Sheppard's 800 metre split for the final was 1:55.4.