Sheila E was born into a musical family. The eldest child of Latin Jazz legend Pete Escovedo and his talented wife Juanita, she started playing on the family’s instruments at the age of 3. Sheila’s earliest musical influence was her father Pete Escovedo, the virtuoso timbalero and then band leader of the influential band Azteca. At 5 years old, she made her concert "debut" at the Sands Ballroom in Oakland, when she was invited on stage by her father to play a solo in front of an audience of 3,000. At that moment, Sheila knew exactly what she wanted to do: she was going to be a percussionist.

Beginning at age 17, Sheila started her career as one of the most in demand musicians in the world, recording and touringd extensively with renowned artists such as Babyface, Billy Cobham, Natalie Cole, George Duke, Pete Escovedo, Gloria Estefan, Marvin Gaye, Herbie Hancock, Stevie Nicks, Patti LaBelle, Cyndi Lauper, Prince, Lionel Richie, Diana Ross, Ringo Starr, Tito Puente, Don Was, Stevie Wonder and countless others. In 1983 she caught the attention of Prince and changed her name to "Sheila E." Shortly thereafter, Prince helped her record The Glamorous Life, her first solo album.  The eponymous first single from the album—written, performed, and directed by Sheila herself—was released in the spring of 1984 and earned popular and critical acclaim. This single went on to receive multiple Grammy and American Music Award nominations, and won MTV's Best Video Award. The album yielded a hit single in the title track, and another hit for its follow-up single, The Belle of St. Mark.

After three months of sold out performances in Europe and the United States, Sheila began touring as the opening act for Prince's 1984-85 sold out Purple Rain Tour, all while composing her follow-up album, Romance 1600. Released in August of 1985, Romance 1600 raced up the charts with its mega-single A Love Bizarre. 

In 1986, Sheila made her acting debut in the motion picture Krush Groove, further contributing to the film by writing and performing the song Holly Rock on the film’s soundtrack. Soon after, she released her third album, Sheila E, which included yet another smash single, Hold Me. Instead of touring to support her own album, however, Sheila joined Prince's band, playing drums and percussion, for the European tour supporting his album Sign o' the Times, a tour that Rolling Stone Magazine readers rated as the 15th best tour in music history. Showing her strong family roots and love for Latin jazz, she joined her father, Pete, and fellow Latin jazz legend, the great Tito Puente, on a special concert which was released on video and CD as Latina Familia. In 1988 and 1989, Sheila toured again with Prince on his LoveSexy World Tour, playing drums and percussion.

In the following year, she appeared in the Andrew Dice Clay comedy The Adventures of Ford Fairlane. In 1991, Sheila released her fourth CD, Sex Cymbal. The CD, which was largely produced by her younger brother Peter Michael, included two singles, the title track, and Droppin' Like Flies. Since then, she has produced solo albums, performed with numerous other artists and gone on to become a living legend in Latin jazz, Pop and many other genres of music.