The TV personality and her professional dance partner Val Chmerkovskiy fell into the bottom two along with Roshon Fegan and Chelsie Hightower when the judges' scores and viewer votes were combined.
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Shepherd burst into tears when the result was announced and received a standing ovation from all three judges.
She told host Brooke Burke Charvet: "I just want to say thank you for letting me live a dream that I've always had, and I want to say I've got the most amazing partner in Val Chmerkovskiy, and I want to say to everyone person out there - that thing that scares you the most... run towards it, because it's so amazing on the other side.
"I had the most amazing time, thank you."
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Melissa Gilbert was absent from the results show as she continued to recover from head injuries sustained during Monday night's programme.
Her professional dance partner Maksim Chmerkovskiy praised Gavin DeGraw, who carried Gilbert backstage after the incident, calling him a "true gentleman".
"I do hope she's okay," he added. "She's a fighter, she's a trooper. She's looking forward to next week... but she's a little sedated, so she doesn't even know what she's looking forward to!"
Kiss, who opened yesterday's show, performed once again, while Gotan Project made their US network television debut accompanying a routine from Karina Smirnoff and ballet dancer José Manuel Carreño.
The judges also chose Donald Driver and Peta Murgatroyd to dance the first 'encore' performance of the season as they performed their well-received pasa doble once again.