Sheldon was the third son of Edward Sheldon of Weston-on-Avon, Warwickshire and Elizabeth Markham his wife, daughter of Thomas Markham of
Ollerton,
Nottinghamshire. The antiquary
Ralph Sheldon was his nephew. He was a
gentleman-commoner at
Gloucester Hall, Oxford and then pursued a legal education at
Gray's Inn, London, before completing his studies at
University College, Oxford. After that he took a foreign tour that lasted for some years. Sheldon married Mary (or Margaret) Wake, daughter of
Lionel Wake of
Pedington,
Northamptonshire, and
Antwerp, by whom he had nine sons and four daughters. Most of them became active as Catholics and/or Royalists. Two daughters, Frances and Katharine, were maids of honour to
Charles II of England's spouse
Catherine of Braganza, to whom Sheldon dedicated his
Counsels of Wisdom – "being desirous in these distracted times to offer something that is serious, and may invite People and direct them to the way of Virtue." One of the copies in the
Bodleian Library had been given to the
antiquary Anthony Wood by Frances Sheldon. Having led a quiet life on his estate at
Stratton, Gloucestershire, Sheldon began to be molested for his Catholicism and moved to London in 1641. Sheldon or a namesake was among those who surrendered Worcester to Parliament in July 1646. Other accounts say he remained in retirement. He was resident at a house on the east side of
St James's Street, Westminster, from 1682 until his death on 27 March 1687. ==Works==