Exley is widely regarded as one of the pioneers of cave diving, writing two major books on the subject: Basic Cave Diving: A Blueprint for Survival and Caverns Measureless to Man published by Cave Books, (ISBN 0-939748-25-8), and establishing many of the basic safety procedures used in cave and overhead diving. Exley was also a pioneer of extreme deep water diving. In the book, Diving into Darkness (a story about Dave Shaw and Don Shirley) it was commented: "Exley's status in the sport is almost impossible to overstate."

Exley began diving in 1965 at the age of 16. That very year he entered his first cave and was hooked on cave diving for the remaining 29 years of his life.

He was the first in the world to log over 1,000 cave dives (at the age of 23): in over 29 years of cave diving, he made over 4,000. He is one of the few divers to survive a 122 metre(400 ft) dive on compressed air. During his diving career, he set numerous depth and cave penetration records.

He died aged 45 on April 6, 1994 while attempting to descend to a depth of over 300 metres (1,000 ft) in a cenote called Zacatón in Mexico; he was about 10 meters away from the bottom of the cenote. He made the dive as part of a dual dive with Jim Bowden, but Bowden aborted his descent early when his gas supply ran low. Exley's body was recovered only because he had hooked his arms in the descent line, perhaps to sort out gas issues. His wrist-mounted dive computer read a maximum depth of 268 metres (879 ft). It is not certain what caused his death; team members concluded the causes "...could include stress of HPNS exacerbated by the narcotic effects of nitrogen at that depth". The line was also wrapped (deliberately) around Exley's tank valves. Bowden and other experts have theorised that Exley may have done this in anticipation of his own death to prevent any dangerous body recovery operations.

Sheck Exley is one of only eight people in the history of technical SCUBA diving to dive below 800 feet.

Some of Exley's exploits are described in Daniel Lenihan's book Submerged. This book describes how Exley was a very influential dive buddy of the author, who went on to form the National Park Service's Submerged Resources Center.