"Thank you for letting me live a dream," she told those on the set and viewers at home.
That dream included a Foxtrot, Jive, Rumba and Tango.
After her elimination, Shepherd couldn't do the whole press line, but she did talk to me.
We've been talking now for 10 years, since she was on the sitcom "Less Than Perfect."
"I got to live a dream and you never want your dream to end," she said, "so to get off the ride so early, it's a little heartbreaking. But I'm very thankful for the ride that I got."
Shepherd's new-found family wishes the ride could have lasted longer.
"She worked so hard, and it's so hard and it's so sad," said Peta Murgatroyd, Donald Driver's partner. "She really wanted to be in there, so it's awful."
Shepherd said she wants people to know that when she cries, they're tears of joy because she's grateful.
"This was truly a family and I've met some amazing people," she said.
Shepherd was in the bottom two with one of her son's favorite stars, Roshon Fegan.
On the results show, KISS returned to the stage for a performance.