Shepard graduated from Pinkerton Academy in 1940. Because World War II was already raging in Europe, his father wanted him to join the Army. Shepard chose the Navy instead. He easily passed the entrance exam to the United States Naval Academy at Annapolis in 1940, but at sixteen was too young to enter that year. The Navy sent him to the Admiral Farragut Academy, a prep school for the Naval Academy, from which he graduated with the Class of 1941. Tests administered at Farragut indicated an IQ of 145, but his grades were mediocre.