She is best known for her work on non-fiction films, produced through her production company, Dimestore Productions. She won a Canadian Screen Award for directing When Dreams Take Flight, and has been nominated for a Gemini Award for writing Capturing a Short Life.
In addition she has directed episodes of reality TV series, like Love it or list it.
In May 2019 McDonald released Candice, a profile of Candice Vadala. Vadala, also known by the stage name Candida Royale, had been an artist, then a film extra, then an actor in porn films, and finally a film director. She invited McDonald to profile her after she had been diagnosed with ovarian cancer.
McDonald featured a documentary about Cotten, entitled "Dead Man’s Switch", at the Hot Docs film festival, in May 2021, and the Gimli Film Festival, in July 2021. The Winnipeg Free Press said the film "had the scent of Citizen Kane".
- Kara Headley (2021-05-03). "Hot Docs 2021 Women Directors: Meet Sheona McDonald – “Dead Man’s Switch: a crypto mystery”". Hot Docs 2021. Archived from the original on 2021-05-10. https://web.archive.org/web/20210510210319/https://womenandhollywood.com/hot-docs-2021-women-directors-meet-sheona-mcdonald-dead-mans-switch-a-crypto-mystery/. Retrieved 2021-07-29. "'Dead Man’s Switch' is a feature length documentary that explores the mysterious, twisted, and unregulated world of cryptocurrency through the story of the rise and fall of the Canadian cryptocurrency exchange QuadrigaCX and the mysterious death of its CEO and founder, Gerald Cotten."
- "Sheona McDonald". Canadian Filmmakers Distribution Centre. https://www.cfmdc.org/filmmaker/1560. Retrieved 2021-07-29. "Starting in 1994, Sheona did a two year media program at Capilano College in Vancouver. Within that program she made two documentaries, 'With My Boots On,' the story of Rosalin MacPhee's fight against breast cancer; and 'Breaking the Cycle' an examination of Canadian Aboriginal men and domestic violence."
- "About". Dimestore Productions. https://www.dimestore.ca/sheona-mcdonald. Retrieved 2021-07-29.
- Jeremy Shepherd (2019-05-03). "Doc examines life of adult film star turned feminist icon". Times Colonist. https://www.timescolonist.com/2.2551/2.3024/doc-examines-life-of-adult-film-star-turned-feminist-icon-1.23810935. Retrieved 2021-07-29. "Candice, a new documentary from Horseshoe Bay director Sheona McDonald, offers a last look at Vadala and the measures of pain and comfort she drew from the answers to those questions."
- Randall King (2021-07-14). "Tales from the crypto: Documentary explores life and death of Canadian CEO -- and the disappearance of $215 million of cryptocurrency". Winnipeg Free Press. Archived from the original on 2021-07-14. https://web.archive.org/web/20210714141431/https://www.winnipegfreepress.com/arts-and-life/entertainment/arts/tales-from-the-crypto-574828102.html. Retrieved 2021-07-29. "But this story is all too real. The film by Vancouver-based documentarian Sheona McDonald examines the suspicious circumstances surrounding the death of Canadian CEO Gerald Cotten, who died at the age of 30 in India, apparently as a result of Crohn’s disease."