Shaw began the 1995-96 season still with Palace in Division One, but he signed for Coventry City in November 1995 for £1m. He performed consistently well for Coventry over 10 years, making over 350 appearances and scored his first and only goal for Coventry after over 250 games against Gillingham in May 2004. He won the ""Player of the Year"" award at the club in 1998/99 and the ""Players' Player of the Year"" award in 2002/03. Having spent a decade at Coventry where he had gained much respect from the fans, his testimonial match against Celtic in April 2006 was a big success, with the Sky Blues ending as 3–1 winners over the Scottish champions, before he was released at the end of that season.