Police and paramedics were called to an address in Montrose Avenue just before 5.10pm. It is not yet clear how the 20 year old died and enquiries continue.
West Ham supporter Sheppard made her Hammers debut in a 2-2 FA Women's Premier League Cup group stage draw with Colchester in November 2012. Before moving to Hammers, Sidcup-born Katie also represented Bexley and Greenwich at the London Youth Games and played junior football in the United States for Massachusetts Premier League outfit MPS Lady Crusaders and Australia for Melbourne Fusion. She also studied for a BTEC in Sports Science at Christ the King College in Sidcup.
A statement on the Ladies website reads: "It is with great sadness they we have report the untimely passing of Katie Sheppard. She had played for the Ladies team for the past two seasons, a true Hammers fan and season ticket holder at Upton Park. We send our condolences to all her family and friends at this sad time."
"She joined us when she was 17 and played for the club for two seasons. Katie was a central midfielder and she made a couple of first-team appearances under me before she went off to university. Katie was a fantastic person and a lovely kid. It is such sad news for us all. The club will certainly be a lesser place without her."
Setford added the Ladies had spoken to Charlton Women to ensure a fitting tribute is paid to Katie when the two clubs meet in the FA Women's Premier League Southern Division later this year.
Tributes have also poured in for Sheppard on social media, with her team-mates, friends and supporters all expressing their sadness at her passing.
By David Blackmore