In 1936, Sheldon participated in group shows at the Art Institute of Chicago. She had connections to the institute through her family. It showed some new American work. This was an important step forward for Sheldon's painting career. At this time Sheldon also took private art lessons from John Sloan. She disliked prudery in painting. While examining an anatomy book for an art class, Sheldon saw that the genitals were blurred. She then restored the genitals of the figures with a pencil.