Polish-born Sheppard lost 15-5 to fifth seed Corinne Maitrejean, from France, in the foil after she put out fellow Brit and training partner Sophie Troiano in her first bout at Excel.
But Bath-based Sheppard was just delighted to have competed in Great Britain’s colours at an Olympic Games and wished Maitrejean well.
“I actually think it was good,” she said.
“There was some very strong fencing. The tactics that we discussed before the match didn't quite work but she is amazing, so good luck to her.
"Fencing for Britain – wow, a once in a lifetime experience. It hasn't sunk in yet, but in years to come it will feel amazing.”
Troiano, who lost 12-9 to Sheppard in the round of 64, was disappointed to have been drawn against a teammate, but will be now focusing on the team event.
"If I had been switched on at the start I might have done better,” said London-born Troiano, who confessed to being nervous.
"It's never nice to draw a teammate but we always knew there was a chance we would meet each other.
“It would be unnatural not to be nervous, it's the greatest show on earth.
"My efforts are now going to be focused on the team event. We have a strong team and a good chance of doing well."
Anna Bentley, from Aberdeen, also had an early exit after she lost 10-9 in overtime to Canada’s Monica Peterson, but felt she could have won.
The 31-year-old, who lives in London, was happy with the support of the crowd, but blamed nerves and a lack of a ruthless streak for her defeat.
“The crowd really helped me at the start," she said. "I got nervous in the second period and let her back into the bout. It was fun, but it is no fun to lose"
"She's awkward to hit and leans over, so there is not much of a target to hit. But good luck to her, she's a fighter."