Shepard attended Adams School in Derry, where his academic performance impressed his teachers; he skipped the sixth grade, and proceeded to middle school at Oak Street School in Derry, where he skipped the eighth grade. He achieved the Boy Scouts of America rank of First Class Scout. In 1936, he went to the Pinkerton Academy, a private school in Derry that his father had attended and where his grandfather had been a trustee. He completed years 9 to 12 there. Fascinated by flight, he created a model airplane club at the Academy, and his Christmas present in 1938 was a flight in a Douglas DC-3. The following year he began cycling to Manchester Airfield, where he would do odd jobs in exchange for the occasional ride in an airplane or informal flying lesson.