He began his professional career in the middle of 90s. In the 1999-2000 season he made his appearance during the tour in Sri Lanka. Previously he also played for Under 17 and Under 19 level for Austalia. During the 2001-2002 season and tournament in New Zealand he scored 4th most runs.

He made his debut being the player of the first-class cricket in the March 2001 against South Australia at the WACA Ground. In the 2002 he joined for Western Australia team and was involved in English XI tour. Later in the same year Shaun made his debut for the Warriors team in an ING Cup match against South Australian team Redbacks. He also signed a contract with Walsden Cricket Club in the 2004. He played for Warriors team for a couple of years and appeared on 35 games during two seasons. In the 2006 he was chosen for Australia-A side. During these years he becomes a Warriors' top run scorer.

In the 2008 Shaun signed a contract for Indian Premier League (IPL). He made his debut at the opening the batting for the Kings XI Punjab. He showed very good results against the Rajasthan Royals team scoring most runs in the season. In the same year he also signed a contract with Australian Cricket and played during the tour of the West Indies.

He made his debut in June 2008 in a Twenty20. His One Day International debut showed top scoring during the match with 81 runs. Later he was honored by the Man of the Match award. In the middle of 2011, Shaun was chosen for the Australian Test Squad for the tour to Sri Lanka. Shaun made his maiden century o September, he scored 141 and shared a 258-run. It was his breakthrough time in career. During the season of home series in 2011-2012 he played in all four games against India team. But it was a bad experience, he scored only 17 runs. Later he was dropped from team until 2016.

Marsh was one of the top players in Twenty20 format. In the 2012–13 season of Big Bash League, he scored 5 half-centuries for 9 innings. He became a lead run scorer, and helped the Scorchers reach the final. But later he was dropped from Scorches because of his brother’s birthday party.

He is married to Rebecca O'Donovan. His wife is a journalist from Channel 7. Rebecca was his longtime girlfriend until the couple tied their married knot recently. There is no information about his previously relationship. Shaun prefers not to speak about his personal life and did not appear on any interview and TV chat shows. His total net worth is not disclosed by any source.