McSheffrey, a £4million summer signing from Coventry City, rounded off a fine performance when he notched his second goal of the match in the final minute to take the pressure off Blues manager Steve Bruce.
This was Birmingham's third win in a week and it was achieved over an Albion side which finished the game with only ten men after Paul Robinson was sent off four minutes from time following a particularly bad tackle on Damien Johnson.
Birmingham, who were in turmoil only a fortnight ago, now appear to be back on course, but the win was not as easy it appears on paper. To their credit they did not capitulate under pressure.
Albion were not blessed with much luck. They twice hit the woodwork and generally impressed with their attacking play, only to be denied by an industrious Birmingham side determined to make amends for their recent indifferent form.
McSheffrey proved to be the match-winner. The stocky winger scored direct from a first-half free-kick and then clinched the game when he calmly went through on his own to chip the ball over the head of Pascal Zuberbuhler.
The Blues battled hard throughout against opposition which played with skill and flair provided by the likes of Jason Koumas and Nigel Quashie.
Albion's attacking policy was quickly evident as they launched a series of moves to put Birmingham's suspect defence under considerable pressure in the first half.
The influence of Quashie was evident in this period when the Scotland international set up several penetrating moves which troubled the home side.
Diomansy Kamara, who had scored six goals in the previous five games, was a big danger and Martin Taylor had a harrowing time keeping the Albion striker in check.
Nathan Ellington, meanwhile, was always lurking around the Birmingham area and this was illustrated when the striker produced a close-range shot which Maik Taylor tipped onto the bar.
Birmingham's attack had been more isolated as they usually floundered on Albion's solid back four.
But Cameron Jerome did manage to find Nicklas Bendtner, who rounded Zuberbuhler only for Martin Albrechtsen to nip back and rob the Birmingham striker as he was about to score from a couple of yards out.
Birmingham created the breakthrough in the 19th minute when Jerome won a free-kick after being fouled by Chris Perry. There was a lot of confusion and Zoltan Gera picked up a yellow card for not moving back the statutory ten yards.
When the referee sorted matters out McSheffrey curled his 25-yard free-kick into the top far corner of the net.
Albion considered they should have been awarded a penalty when Kamara went flying after a tackle by Martin Taylor. But the outcome was a booking for diving for the Senegal international.
It was hardly a surprise when Albion subjected Birmingham to some heavy pressure, but it was Fabrice Muamba who should have settled the game when he collected a pass from Bendtner only to fire wide.
Albion also wasted chances, with the usually sure-footed Kamara running through following a mis-placed pass by Jerome to shoot wide.
McSheffrey joined the list of those guilty of bad misses when he headed into the waiting arms of Zuberbuhler with only the keeper to beat.
But he made amends at the death with a calmly taken second goal.