The Saskatchewan Roughriders of the Canadian Football League signed Sheets on February 10, 2012. In his first regular season game with the Roughriders, Sheets rushed for 80 yards on 12 carries (6.7 yards per carry average) and scored a touchdown. Sheets' play in pre-season helped earn him the starting job at running back for the Roughriders, which came as a surprise to many, as Brandon West was expected to start. Sheets scored his first touchdown on June 29, 2012 in the season opener against the Hamilton Tiger-Cats in a Saskatchewan win. His play helped the Riders to an early 3-0 start, with a touchdown in every game. Sheets became the second rusher in the CFL to reach 1,000 yards in the 2012 season after Jon Cornish. On October 8, 2012, Sheets ran over the 1,000 yard mark after a 48-yard touchdown run at Rogers Centre against the Toronto Argonauts. Sheets finished the 2012 CFL season second in the league in rushing yards behind Jon Cornish.