Sheikh is the son of wealthy Pakistani parents from Wanstead, who moved to the UK in the Sixties. Their son went to the private Forest School, in Snaresbrook, where England cricket captain Nasser Hussain was a contemporary. He passed four A-levels, two at grade A and two at grade B, and was head of his school house. He went on to study economics and statistics at LSE while his sister went on to Oxford University.