Born in Dublin, Sheridan moved to New York City in 1981, spending her early childhood there while her father struggled to make it as an actor and theater director. Her family moved back to Ireland eight years later, whereupon her father found success as the director of My Left Foot, in which Sheridan plays the younger sister of lead actor Daniel Day-Lewis. She studied script writing at New York University in 1993 and went to film school at University College Dublin, ultimately earning her film degree from Dun Laoghaire College of Art and Design in 1998.

Sheridan directed Dollhouse in 2010. Filming took place over 21 days, and it was released in 2012. The unscripted story, featured a cast of young Irish actors, including then-unknown Jack Reynor and Seána Kerslake. The film was featured at the 62nd Berlin International Film Festival and won the jury prize at the 2012 Odesa International Film Festival.