The West Indies big-hitter crashed a 10-ball 39 in an unbeaten stand of 53 off 13 deliveries with Tim David, who struck 45, to steer Mumbai to 234-5 at their home Wankhede Stadium.
Delhi finished on 205-8 despite Tristan Stubbs’ unbeaten 25-ball 71. They slumped to the bottom of the 10-team table.
Five-time IPL winners Mumbai bounced back from their opening three losses in a relief for skipper Hardik Pandya, who has been booed by the fans on all venues after he replaced Rohit Sharma as captain ahead of this edition.
David smashed a six and four at the end of the 19th before Shepherd walloped Anrich Nortje for four sixes and two fours in the last over as Mumbai took 42 runs from the final eight balls.
Rohit (49) and Ishan Kishan (42) lay the foundations for the total in an 80-run opening stand before Axar Patel sent the two back in the pavilion with his left-arm spin.
Returning batsman Suryakumar Yadav, who missed the first three losses to an injury lay-off, survived a toe-crushing yorker by Nortje on his first ball and then miscued the next delivery to mid-on for a two-ball duck.
Mumbai lost another wicket before Pandya and David put on 60 to steady the innings and take the attack to the opposition ahead of Shepherd’s explosive knock.
In reply, Prithvi Shaw hit 66 in his attempt to set up the chase after he lost opening partner David Warner out for 10 off Shepherd’s seam bowling.
Shaw and the left-handed Abhishek Porel, who hit 41, put on 88 for the second wicket before Jasprit Bumrah removed both.
South Africa’s Stubbs pushed for some fight as he raised his fifty in 19 balls but the asking rate kept climbing and Gerald Coetzee took three wickets in the final over to return figures of 4-34.
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