The Herd boss was looking for his side to bounce back after a rare home defeat on Boxing Day and they certainly did that as three times they levelled the game against the Lightning, before Kamil Trvdek scored the winning penalty shot.
Sheppard said: "That was certainly a bounce back game for us. We did not play well in the first period, but from then on we could have won the game.
"We had our chances in the third period and we hit the post three times in the shoot-out so the bounces won't going our way, but I felt we deserved at least a point."
The games are coming thick and fast for the Bison as they are next in action on Wednesday night when they travel to Wiltshire to face the Swindon Wildcats.
The Herd will still be without forward Andy Melachrino for that game and Kurt Reynolds will also be missing after picking up an injury in the first period of the loss in Milton Keynes.
The Bison have already won in the Link Centre this season and would love to repeat it.
Sheppard said: "We want to return to winning ways as quick as possible. Swindon have a lot of firepower and we will have to be on our toes if we want to get the job done."
Saturday's loss in Buckinghamshire was the second time this season the Herd had lost in penalty shots at MK.
The Lightning minus former Bison players Nicky Chinn suspended and Chris Wiggins injured took the lead in the tenth minute from Nick Poole.
The Bison then lost Reynolds after a big hit from Poole, but then levelled the game as Greg Chambers finished a nice move involving Jaroslav Cesky and Joe Greener.
The home side edged in front in the opening two minutes of the second session from Leigh Jamieson, but Sheppard tied the game once more with a lovely finish at 27:50.
Just three seconds later the first powerplay of the night saw Bison's Greg Owen depart for hooking and MK made the most of man advantage as Tvrdek scored from close range to make it 3-2.
For the third time in the contest the Bison equalised as Joe Rand converted from Joe Miller and that is how it stayed to the end of the second period.
The final session saw both sides have their chances with Cesky and Chambers going close for the visitors, but with no further goals the game went to overtime.
The Bison had the edge in the final five minutes helped by a powerplay but with no additions to the scoreline the game was decided in a shoot-out.
MK's man-of-the-match Blaz Emersic fired first and hit the post as did Bison's Chambers.
The next home shooter Adam Carr missed and then Cesky this time hit the post.
Tvrdek then scored past Stevie Lyle meaning Miller had to score to send the shoot-out into sudden death, but once again the pipework denied the Bison and gave MK the win.