After finishing his playing career, Cole returned to his home state of Washington. In 2006, he spent six months with the
Tacoma Rainiers, the
Seattle Mariners Triple-A affiliate, assisting the general manager for baseball operations while learning under pitching coach
Dwight Bernard. In his one season with the team in 2008,
Arizona (2010–2014) While he completed his master's degree, Cole sent out letters to both college and professional teams in search of an internship opportunity; he heard back from the
University of Arizona and the
Los Angeles Angels. Under his tutelage, Heyer was named a second-team All-American after leading the nation with 13 wins, and combined with
Konner Wade and
James Farris for a 31—8
win–loss record, a 3.30 ERA and 16
complete games. Overall, he mentored nine pitchers who were selected in the
MLB draft, On the recruiting trail, Cole contributed to four consecutive nationally ranked signing classes from 2012 to 2015. He also managed the
Tournament of Stars and the 17U National Team Identification Series, both of which served to select talent for the 18U squad. In this role, he was involved with "all aspects of baseball operations, scouting and player development". That season, the Dust Devils pitching staff ranked top two in every major pitching category in the
Northwest League. The following year, Cole served as manager of the
AZL Padres 1, one of two similarly named Padres
rookie-level affiliates, and led the squad to a 25–31 record, in addition to serving as coordinator for San Diego's
spring training facility in
Arizona.
Eastern Kentucky (2019–2020) On September 10, 2018, Cole was hired at
Eastern Kentucky University, returning to the collegiate ranks as a pitching coach for the
Colonels under head coach
Edwin Thompson. He had previously hired Thompson to coach in the Tournament of Stars during his time with USA Baseball. On July 13, 2023, Cole was named the Aztecs' acting head coach following Martinez's abrupt retirement. He was officially elevated to head coach on July 25, becoming just the sixth head coach in the program's 88-year history. Cole hired Julius McDougal and
Tony Tarasco as assistants soon afterwards. Cole took charge of a 2024 Aztecs team that returned only three members of the starting lineup and two starting pitchers, adding 19 freshman to the roster. Over the next two seasons, the Aztecs posted records of 17–37 and 20–39, respectively, which were two of the three worst records in program history. On May 29, 2025, San Diego State announced that Cole would not be returning to the program after two seasons in charge.{{cite news|url=https://www.sandiegouniontribune.com/2025/05/29/shaun-cole-out-after-two-years-as-san-diego-state-baseball-coach/|title=Shaun Cole out after two years as San Diego State’s baseball coach ==Head coaching record==