As part of his new show, Mystery Map, he stayed in the ancient and “unnerving” Guy Fawkes Inn in York, which is reputedly haunted by the historic figure, famous for his involvement in the great Gunpowder Plot.
“I’ve never personally experienced any sort of ghost,” explains Shephard, who for 10 years presented ITV’s GMTV. “But spending a night in a haunted room, even though I’m relatively rational, is still an uneasy thing to do.”
He took no chances with his room being overrun with ghouls. “I ended up blocking the light under the door, just in case,” confesses the 38-year-old, laughing. “I was sure that the crew were going to come up and knock on the window in the middle of the night, because if I’d been them,
I would have done exactly that to scare them!”
The two-part series sees Shephard and Countryfile presenter Julia Bradbury travelling around the UK exploring some of the nation’s best-known riddles.
As well as ghost-hunting in York, the Sky Sports presenter found himself in Rendlesham, Suffolk, to learn more about the UK’s most famous UFO incident, in which US military officers reported a sighting of an unidentified craft in 1980.
“There are pictures of a spaceship landing,” says the father of two. “There’s a voice recording from people at the airbase at the time, who recorded what they saw over the course of three or four hours.
“I sat in the woods, as the sun was going down, listening to the recordings.
It’s really compelling and unnerving how much tension and fear is in their voices.
“They’re talking about this light coming towards them that then disappears.”
UFOs are one thing, but Shephard’s own life is full of mysteries - although they’re far more commonplace than the ones he explores in the series.
“Where do the socks go that never come out of the washing machine?
That’s a mystery everybody should look into because, quite frankly, that can’t be explained physically or chemically,” he jokes.
“How my two small children can eat so much food... The strange mystery of the disappearing crisps in the house. No clues and no one willing to own up to it.
“The series has absolutely piqued my interest in finding out about things like this.”
Disappearing socks are a regular occurrence in Shephard’s London home which he shares with wife Annie and sons Sam, eight, and six-year-old Jack.
But even if their parents can’t get to the bottom of that particular enigma, the boys relish the ghost stories their dad has been telling them of late.
“My boys loved hearing [all the stories from the show],” says Shephard. “Like me, they’re sci-fi addicts, but all of these stories are really exciting for them, and equally for my wife, because she’s really interested in the idea of mass hysteria and spontaneous combustion, which Julia looked into.”
The couple met as students at the University of Birmingham.
Despite his showbiz links, normal family life is very important for Shephard.
“I fell into this bizarre world and got a job in telly,” he says. “My wife’s been involved all the way through, which has been lovely, and now we’ve got kids and life goes on.
“She’s the rational one to my sort of ‘off in the world chasing mysteries’, which I think works brilliantly, or seems to work all right.”
He’s aware of the strain that his irregular working patterns during his GMTV days could have put on them.
“My wife has to put up with a lot, in regards to hours and the nature of my job,” he explains. “I’m lucky I do a job that I absolutely love, but it can be erratic with hours and travelling, and we’ve got two little boys who take up a lot of time, so she does put up with a lot.”
And with 10 years of marriage to mark next year, plus 20 years of being together, 2014’s set to be a year of celebrations for the Shephard family.. “We’re not the best at remembering, because we’ve had a lot of years together, but it’s very nearly our 20th anniversary of being a couple and it’s definitely our 10th wedding anniversary next year. I’m very sure we’ll do something for that,” he says.
:: Mystery Map starts on ITV on Wednesday, November 20