Shepard was born in Highland Township, Oakland County, Michigan to Laura LaBo, who worked at General Motors (GM), and David Robert "Dave" Shepard, Sr. (deceased), who was a car salesman.
Shepard graduated from Walled Lake High School in 1993, and moved to California in 1995. He graduated magna cum laude from UCLA with a B.A. in Anthropology. While attending UCLA he trained at The Groundlings Theater for improv and sketch comedy. After eight years of auditioning, Dax booked Punk'd, his first paid acting role. He worked alongside Ashton Kutcher. When the show had its 2012 revival, he continued to appear.
In 2004, Shepard starred in the comedy Without a Paddle. In 2005 he starred as The Astronaut in Zathura: A Space Adventure, a science fiction adventure fantasy film. In 2006, Shepard landed his first main character role in Let's Go to Prison. He also had a main role in the 2008 comedy Baby Mama.
Shepard began to work backstage. He wrote the script for the Paramount venture Get 'Em Wet, in which he appeared in. In 2010, he wrote, directed and starred in the low-budget satirical mockumentary feature Brother's Justice; the film won an Audience Award at the 2010 Austin Film Festival. In 2012, he wrote, produced, co-directed, and starred in the 2012 low-budget film Hit and Run.
In 2014, he had a supporting role in the 2014 film The Judge, which starred Robert Downey Jr., Robert Duvall and Vera Farmiga. That same year, Dax starred with his wife, Kristen Bell, in a commercial for the Samsung Galaxy Tab S. It gained so much popularity that they did another commercial for the holiday season.
In 2018, Shepard launched the podcast Armchair Expert with cohost Monica Padman. He also joined The Ranch as a recurring character. He takes the place of Danny Masterson's Rooster Bennett on the Netflix series, after Masterson's sexual misconduct allegations gained attention, so Shepard was brought on as cousin Luke Matthews.
- He is married to actress Kristen Bell, with whom he has two children.
- He is dyslexic.