Prior to the start of the 2012–13 season, Shaw left Millwall to take up the assistant manager's position at his previous club Coventry City, working under his former Crystal Palace teammate Andy Thorn. The Midlands side had removed their previous assistant manager Steve Harrison following the club's relegation from the Championship. After the club drew their opening three games of the League One season, Thorn was sacked and Shaw was appointed caretaker manager, working alongside first-team coach Lee Carsley. His first game in charge saw Coventry defeat local rivals Birmingham City 3–2 in the League Cup. At this time Shaw succeeded in reaching the final shortlist for the permanent manager's post alongside Mark Robins and Paul Ince. Shaw managed five further Coventry matches, winning a Football League Trophy tie against Burton Albion on penalties, but losing four consecutive league games. On 19 September, the day after the last of those matches, a 4–1 defeat at recently promoted Shrewsbury Town, Robins was appointed permanent manager of Coventry. Shaw returned to his position of assistant manager, but Steve Taylor, Robins's colleague at Barnsley and Rotherham, was appointed first-team coach and Shaw's contract was ultimately terminated 27 days after the appointment of the new manager.