As a resident of Stuart, Florida, Sheehey attended South Fork High School as a sophomore and junior. As a sophomore in 2007–08, he averaged 17 points, 8.5 rebounds and 4.5 assists per game and as a junior in 2008–09, he averaged 24.6 points, 10 rebounds and nearly three assists per game. As a senior at Sagemont School in 2009–10, he averaged 14 points, seven rebounds and four assists. During the summer, Sheehey played AAUbasketball for the Florida Rams. Sheehey was named to the Class 2A second team All-State. He was ranked as the No. 45 small forward in his class by Scout.com, and No. 141 overall and No. 40 small forward by Rivals.com. He was also nominated for the McDonald's All-American Game and was named to the Florida vs. U.S.A. Hardwood Classic All-Star team.
College career
Sheehey chose to play basketball at Indiana and major in legal studies, turning down offers from Arizona State, Michigan and Georgia Tech. Of his commitment, Sheehey said, "I chose Indiana because it was the best combination of basketball, academics and social life."
Freshman season
As a freshman during the 2010–11 season, Sheehey played in 32 games and started seven. His breakout game was against Mississippi Valley State, contributing nine points, five rebounds, two steals and an assist in 11 minutes off the bench. His contributions continued to grow throughout the season. His dunk in a game against Iowa on February 5, 2011, was a finalist for Papa John's Dunk of the Year.
Sophomore season
As a sophomore during the 2011–12 season, Sheehey averaged 8.6 points and 3.1 rebounds in 22.4 minutes per game. He started 11 of the 31 games he played in, particularly toward the end of the season. The Hoosiers' record in 2011–2012 improved by fifteen games over the prior season, making it the largest single turnaround in the NCAA that year. The team earned a number-four seed in the 2012 NCAA Tournament and defeated New Mexico State in the second round. After defeating VCU in the third round, the Hoosiers lost in the Sweet Sixteen to Kentucky, the eventual national champions.
Junior season
As a junior during the 2012–13 season, Sheehey's talents were integral to the team's success. CBS Sports columnist Jon Rothstein said, "You can't measure what Will Sheehey does for Indiana with a box score. The 6-7 swing man brings unbelievable intangibles to the Hoosiers on a nightly basis and regularly guards several of the opponent's top offensive options...not enough credit goes to Sheehey — a player who always seems to be around a loose ball whenever it hits the floor." That season the Hoosiers won the outright Big Ten championship. Sheehey averaged 9.5 points per game off the bench, among the best in the Big Ten, to go along with 3.7 rebounds and 1.3 assists per game. He was honored as the Big Ten Sixth Man of the Year by the coaches.
Senior season
As a senior during the 2013–14 season, Sheehey earned Big Ten All-Sportsmanship Team honors and was named to the Reese's NCAA D1 All-Star Game. In 31 games, he averaged 11.4 points, 4.0 rebounds and 1.8 assists per game.
In the summers of 2015, '16, and 2017, Sheehey played in The Basketball Tournament on ESPN for team Armored Athlete. He competed for the $2 million prize, and for team Armored Athlete in 2017, he averaged 9.5 points per game. Sheehey helped take team Armored Athlete in 2017 to the West Regional Championship, where they lost to Team Challenge ALS 75-63.
Personal
Sheehey married his wife, Nicole Jaderberg, in 2017. Sheehey is the son of Dawn Mailloux and Michael Sheehey, who played basketball at Syracuse and Saint Bonaventure. His uncle, Tom Sheehey, was a standout basketball player for Virginia and was drafted by the Boston Celtics and played professionally in Spain.
