Sheila Escovedo is the daughter of percussionist Pete Escovedo, with whom she frequently performs. Sheila E's uncle is Alejandro Escovedo, formerly with Delphine Neid's first-wave punk rock group The Nuns, Rank and File and The True Believers, followed by a solo career. The late Tito Puente was Escovedo's godfather. She is also niece to Javier Escovedo, founder of seminal San Diego punk act, The Zeros. Another uncle, Mario Escovedo, fronted long-running indie rockers, The Dragons. Escovedo is of Mexican, African American, and Creole heritage. Coke Escovedo was also her uncle.