The 38-year-old came on as a late substitute in his team's 1-0 defeat to Kaizer Chiefs on the final day of the PSL season.
His coach at Wits, Gavin Hunt confirmed soon after the match that Sheppard was appearing for the last time as a Wits player without going into details as to whether or not the player will hang up his boots.
"You know the send off for Sheppard today... He started with me as a 17 year old and leaves. I don't know... 40 years? I wish him well. He has been a great asset to this game. What a professional he has been in my time," Hunt said post-match.
Sheppard had been doubling up as a player and youth coach at Wits after he was appointed as head coach of the U17 team in January 2016.
Speaking to the media after the match, Sheppard said he needed time before deciding on whether or not to call it quits, saying retirement is 'not 100 percent certain'.
The left-footed winger made his professional debut 20 years ago after being recruited by Hunt at the now defunct Seven Stars.
Sheppard represented South Africa at all national team levels, and has 18 Bafana Bafana caps under his belt.