From 1995 on, Shepherd took seven singles into the Top 10, and holds the record for the longest-running album on the Billboard Blues Charts with Trouble Is…. In 1996, Shepherd began a longtime collaboration with vocalist Noah Hunt, who provided the vocals for Shepherd’s signature song, “Blue on Black”. Shepherd has been nominated for five Grammy Awards, and has received two Billboard Music Awards, two Blues Music Awards, and two Orville H. Gibson Awards.

In 2000, Shepherd played guitar on the end title theme for the animated feature Batman Beyond: Return of the Joker.

Shepherd married Hannah Gibson, the oldest daughter of actor Mel Gibson, on September 16, 2006. The couple has five children: three daughters and two sons.

In September 2008, Fender Musical Instruments Corp. released the Kenny Wayne Shepherd Signature Series Stratocaster, designed exclusively by Shepherd. In 2007, he released a critically acclaimed and two-time Grammy nominated DVD–CD project, 10 Days Out: Blues from the Backroads. This documents Shepherd as he travels the country to jam with and interview the last of the authentic blues musicians. As they tour the backroads, Shepherd, with members of the Double Trouble Band, play with a host of blues greats including Clarence “Gatemouth” Brown and Bryan Lee, Buddy Flett (with whom he jams at Lead Belly’s grave), B. B. King, blues harp master Jerry “Boogie” McCain, Cootie Stark, Neal Pattman, John Dee Holeman, Etta Baker, Henry Townsend with Honeyboy Edwards, and a concert session with the surviving members of Muddy Waters’ and Howlin’ Wolf’s bands, including luminaries such as Hubert Sumlin, Willie “Big Eyes” Smith, and Pinetop Perkins. In 2010, Shepherd was nominated for a Grammy for Live in Chicago, which featured performances with Hubert Sumlin, Willie “Big Eyes” Smith, Buddy Flett and Bryan Lee. In 2011, Shepherd released his seventh CD, titled How I Go, on Roadrunner Records. In 2014 he released “Goin Home” on Mascot Label Group in Europe and on Concord Records in the US and the rest of the world. In 2015 Shepherd released “Something From the Road Vol. 1,” a live special release for Record Store Day in the U.S.

Shepherd stated in a 2011 interview that he began playing guitar in earnest at age seven, about six months after meeting and being “pretty mesmerized” by Stevie Ray Vaughan, Labor Day weekend in 1984, at one of his father’s promoted concerts. His self-taught method employed a process of learning one note at a time, playing and rewinding cassette tapes, using “a cheap Yamaha wanna-be Stratocaster … made out of plywood, basically”, and learning to play by following along with material from his father’s record collection.

In 2013, Shepherd, along with Stephen Stills (Crosby, Stills & Nash) and Barry Goldberg (Electric Flag), formed The Rides. They released their debut album Can’t Get Enough on August 27, 2013. Stills refers to the band as “the blues band of my dreams.” The band toured the US in 2013 supporting their debut record, culminating with an appearance on The Tonight Show with Jay Leno. The three reunited in 2015 for a follow-up album Pierced Arrow, released on 429 Records and Mascot Label Group in Europe in 2016.

In January 2017, the Kenny Wayne Shepherd Band went into the studio with producer Marshall Altman to record a new album of all newly written songs titled Lay It On Down and released the album on August 4 (July 21 in Europe on Mascot Label Group). Lay It On Down is the eighth record by the Kenny Wayne Shepherd Band to debut at No. 1 on the Billboard Blues Chart.

Shepherd made his Edinburgh Jazz & Blues Festival debut on 16 July 2019.

On May 31, 2019, Shepherd released The Traveler on Concord Records and Mascot Label Group in Europe. The album, like the previous release Lay It On Down, was co-produced by Marshall Altman. The Traveler was chosen as a ‘Favorite Blues Album’ by AllMusic.