According to Shepard, his mother named him for the rich playboy Dax (Diogenes Alejandro Xenos), in Harold Robbins' novel The Adventurers. He has an older brother, David Shepard Jr., who lives in Oregon, and a younger half-sister, Carly Hatter, whom he cast in two films: 2012's Hit and Run and 2017's CHiPs. He is also distantly related to George Washington, through marriage, on his mother's side.
