Family
- father John Sheedy: divorced from Sheedy's mother c. 1971
- mother Charlotte Sheedy: divorced from Sheedy's father c. 1971; came out as a lesbian to Sheedy c. 1980
- brother Patrick Sheedy:
- daughter Rebecca Lansbury: born in 1994
- sister Meghan Sheedy:
Companions
- Companion Eric Stoltz: lived together in the early 1980s
- Eric Stoltz: lived together in the early 1980s
- Richie Sambora: dated briefly in the late 1980s