She was the daughter of Very Rev William J. G. McDonald, minister of Mayfield church in Edinburgh, and Moderator of the General Assembly of the Church of Scotland in 1989. He himself was a broadcaster, hosting Thought for the Day for many years.
She graduated from the University of Edinburgh in 1976 before gaining a postgraduate certificate in radio, film and television studies from the University of Bristol. Whilst at university in Edinburgh, she had a relationship with then-Rector Gordon Brown. She also co-founded the Edinburgh Festival Fringe newspaper Festival Times with Garfield Kennedy.
In 1978 she began her professional broadcasting career as a producer and presenter at BBC Radio Scotland. She switched to television in 1981 as a presenter and newsreader at STV, then went freelance in 1986, moving on to anchor such national radio and television news programmes as The World at One, Channel 4 News, The World This Week, After Dark and International Question Time and, in 1995, she received the first-ever 'Woman in Film and Television' Award.
In February 1999 she was struck by a police van on its way to a 999 call in Clerkenwell, London. She sustained head injuries, and it was almost five years before she returned to broadcasting, in a biographical documentary in which she spoke of her recuperation process and coming to terms with the psychological effects of her injury.
- Right to Reply (1982-2001)
- Scotland Today (1984–1987)
- Votes for Woman (1988) 14 episodes
- The World This Week (1989–93)
- Scottish Women (1989–1992)
- After Dark (1989-2003) 3 episodes
- Fighting Talk, (1991)
- Gimme Health, (1994)
- House to House (1995–98) 
- Powerhouse (1998)
- Brain Injury - The Road to Rehabilitation (2002)
- Channel 4 News
- Brian Wheeler The Gordon Brown story, BBC News, 27 June 2007
- CastleFM application for the Edinburgh Radio Licence Archived 2 December 2008 at the Wayback Machine, 2004; page 7
- Sheena McDonald, Am I still me?, BBC News, 16 January 2004
- Sheena McDonald Q&A Archived 21 February 2005 at the Wayback Machine Follow-up to Who am I now?, broadcast in Storyville, BBC Four, 1 August 2004
- Talking Point Archived 9 July 2010 at the Wayback Machine Teachers TV
- Cable, Amanda (13 November 2010). "Broadcaster Sheena McDonald:"Why the scars from my accident still haven't healed"". Daily Mail Online. Retrieved 30 October 2014.