The former Bishop of Liverpool and Labour peer died peacefully on Saturday, the eve of his 76th birthday.
Sheppard was one of England's finest batsmen of the 1950s.
Making his debut at Lord's in an innings defeat by West Indies in August 1950, he went on to make 21 further Test appearances, scoring 1,172 runs at an average of 37.80.
A former captain of Cambridge University, Sheppard twice captained his country, and in 1956 became the first ordained minister to play international cricket for England, scoring a hundred against Australia in that game which was dominated by Jim Laker's 19 wickets.
He made three Test centuries but after being ordained, in 1955, he was not always available for cricketing duties, with ecclesiastical commitments taking priority.
He was Bishop of Liverpool from 1975 to 1997.
In January 1998 he received a life peerage.