Sheridan was married to Edward Norris from 1936 until they divorced in 1939. Then she was married to George Brent from 1942 until they divorced in 1943. Then she was married to Scott McKay from 1966 until her death in 1967. She had one son, Richard that she gave up for adoption, but later located him when she was in poor health. The father of Richard is not known.
Sheridan died on January 21, 1967 in Los Angeles, California from esophageal cancer and liver cancer, aged 51. She is buried at the Hollywood Forever Cemetery.