Sheldon was a graduate of Phillips Academy, Andover (Class of 1879). He became an advocate of the late nineteenth century school of thought known as Christian Socialism. His theological outlook focused on the practicalities of the moral life, with much less emphasis on the doctrinal traditions of personal redemption from sin in Christ. In the winter of 1896 Sheldon developed a sermon story that he read as a weekly series from the pulpit of Central Congregational Church in Topeka, Kansas. The unifying theme of these sermons was based on posing the question, "what would Jesus do?" when facing moral decisions. He viewed this question as traditional within Christianity and likely drew some inspiration from William T. Stead's If Christ came to Chicago! (1893) and other earlier sources.

The theme of the sermons was later fictionalized into the novel In His Steps. The central ethos of the novel was not about personal redemption but about moral choices related to encountering circumstances of poverty and deprivation. Sheldon's theological motif reflected his socialist outlook. Sheldon's own parish work became identified with the Social Gospel, an expression of early Liberal Christianity.

Walter Rauschenbusch, widely viewed as the chief architect of the Social Gospel, acknowledged the importance Sheldon placed on imitating Jesus. He saw the significance of Sheldon's work in bringing home the realization that it is hard to live a Christ-like life, given the temptations of modern society. While Rauschenbusch found this awareness valuable, he saw that it did not demand what he believed was a necessary transformation of social institutions. Sheldon was in touch with the concerns of middle-class America at the end of the century. He saw his role as one of communication...to introduce his congregation and the wider public to the ideas of Lyman Abbott, Richard Ely, George Herron, and Rauschenbusch. That was his intention in writing In His Steps.

Of the social issues Sheldon espoused during his lifetime, the two he was most passionate about were equality and prohibition. He believed that all persons were equal and should be treated as such. He was a pioneer among Protestant ministers in welcoming blacks into a mainstream church. He was also committed to fair treatment for Jews and Catholics, and proclaimed the equality of men and women. A strong supporter of the feminist struggle for equal rights, he urged women to enter politics. He also pushed for full equality in the workplace.

In March 1900 he became editor for a week of the Topeka Daily Capital applying the "What Would Jesus Do?" concept. In that short time, the newspaper's circulation exploded from just under 12,000 to 387,000, overwhelming the paper's Topeka printing plant causing it to print 120,000 copies each in Chicago, Illinois and New York City.

In the 1990s WWJD bracelets became a popular item among young people and publishers increased sales of the public domain book In His Steps and tied it in with marketing of "What would Jesus do?" items.

A ten part mini-series produced by KTWU featured an hour long segment "Beyond Theology: What Would Jesus Do?" which examines how this question might be considered in context of the political, social and cultural changes that have taken place in America. The program also takes a look at the manner in which Sheldon applied the social gospel in his own life and in his community.