In October 2014, Shedden took over the reins at Medveščak Zagreb of the Kontinental Hockey League (KHL) and parted ways with the team at the end of the 2014-15 season. He returned to Switzerland, accepting the head coaching job at NLA side HC Lugano in October 2015. He coached the team to an appearance in the NLA finals in his first year, where they were defeated by SC Bern. In 2015 and 2016, he led HCL to the Spengler Cup final, where they fell short to Team Canada twice. On January 16, 2017, Shedden was fired by HC Lugano.