Hird has been under enormous pressure since Essendon announced earlier this month it had called for the AFL and the Australian Sports Anti-Doping Authority (ASADA) to investigate the use of supplements by its players.
Some have since been critical of Hird's involvement in the matter and have called for the coach's head.
The Brownlow Medallist gave an indication of the pressure he was feeling when he abruptly ended a live interview on Fox Footy on Friday night ahead of his side's opening NAB Cup match against the Western Bulldogs.
But Sheedy, who coached the Bombers to four premierships in 27 years at the helm, wants Hird to remain in his post.
"Of course you do. Absolutely," he said in Sydney on Saturday.
"James Hird is an absolute, thorough gentleman.
"At least Essendon had the guts and the courage to put it on the table and get investigated.
"Not many clubs would do that. Maybe there are some other clubs that didn't do that that maybe could have.
"I know the fans are probably frustrated and annoyed, but buy your memberships at Bomberland, get your 50,000 members this year and stick with the Bombers.
"Most of the time, the Essendon footy club never lets you down."
ASADA and the Australian Crime Commission have faced scrutiny for not revealing more of the classified elements of the report into drugs in sport, believing it leaves question marks over too many clubs and individuals.
Sheedy understands the frustration and agreed it had overshadowed the start of the NAB Cup, but felt the investigation would ultimately be a very important step in cleaning up Australian sport.
"In the end there's not a lot being put on the table," he said.
"I can understand the frustration of a lot of coaches in the NRL and the AFL.
"But I still think that, across the board, it's good to make sure that everyone has been told and warned, across all sporting codes, that the Crime Commission is looking at you.
"I think that's good.
"We don’t want to wait 20-odd years like what happened with the Tour de France."
Sheedy was hopeful the fact games are now underway would help shift the focus back onto the encouraging elements of professional football.
"We've got 850 players in the AFL," he said.
"So why should, say, 825 be accused when it might just be a handful?
"That's what's annoying to a lot of people and I understand that. It would be annoying to me if I was playing.
"I'm glad the games are starting, all the codes are up and playing now, and let's get on with the show."
James Dampney is a reporter for AFL.com.au. Follow him on Twitter: @AFL_JD
