The goals came either side of half-time and arrived via the left foot of McSheffrey, with the help of two deflections, to book Scunthorpe a place in the next stage of the competition.
United manager Mark Robins made two changes to the side that beat Peterborough last weekend with Eddie Nolan and Hakeeb Adelakun replacing the unavailable Luke O’Neill and Luke Williams in the starting line-up.
Rovers saw off local rivals Gloucester City in the final qualifying round last month whilst Scunthorpe entered the cup searching for their first opening round win since 2008.
It took the Iron less than a minute to register their first shot on target as Lyle Taylor picked up a loose ball and hit a powerful drive that Forest Green ‘keeper Sam Russell did well to push away for a corner.
Both sides were attempting to get a foothold of the game early on but it was United that were creating the better of the chances and Adelakun was next to test Russell as he jinked his way into the opposition penalty area before unleashing a fierce shot that was again saved by the home glove man.
But it proved to be third time lucky for Robins’ men as Scunthorpe took the lead in the 21st minute after McSheffrey picked the ball up from Isaiah Osbourne just outside the box and hit a left footed effort that took a deflection and looped over Russell into the back of the net.
Rovers replied almost immediately with two good chances of their own as Sam Slocombe had to claw the ball away from the onrushing Kurtis Guthrie to prevent him having a shot at goal but his clearance fell straight to James Norwood whose low effort was cleared off the line by Andrew Boyce.
Buoyed by his opener, McSheffrey then had another go from distance as his 25-yard attempt flew inches over the crossbar and home winger Elliott Frear also hit just over a couple of minutes later.
With half-time fast approaching, there was still time for Taylor to carve out a chance for himself in the box as he twisted and turned before hitting a shot at goal but he was denied by Russell and 1-0 was how things remained going into the break.
Jennison Myire-Williams came on in place of Adelakun for the second half and it was the hosts who had the first chance of it as a block from Boyce fell straight to the feet of Sam Wedgbury but his wayward shot went well over the bar.
The dangerous Norwood then had a good chance to equalise as he latched onto a through ball from Wedgbury and fired a right footed attempt wide from just inside the area.
Rovers had come out after the interval looking bright but Scunthorpe then doubled their advantage as McSheffrey collected a pass from Paddy Madden on the right wing, cut inside onto his left foot and hit an effort that again took a deflection before finding the back of the Rovers net.
Norwood and substitute Lee Hughes both had pot shots from distance as the hosts tried to find a route back into the game but United came within a whisker of extending their lead further as McSheffrey’s clever corner teed up Myrie-Williams on the edge of the area and his first time left footed volley came crashing off the crossbar before being cleared.
Billy Kee and Sean McAllister replaced McSheffrey and Osbourne respectively as the clock ticked down and Madden had a shot saved by Russell at the death but 2-0 it finished as the Iron kept their name in the hat for the second round.
TEAM LINE UPS
Forest Green: Russell, Bennett, Norwood, Wedgbury (Kamdjo, 80), Kelly Oshodi, Guthrie, Frear (Jolley, 65), Sinclair, Parkin (Hughes, 65), Coles (c).
Substitutes not used: Pipe, Stokes, Oliver, Rodgers.
Scunthorpe United: Slocombe, Nolan, Boyce, Llera, M.Williams, McSheffrey (Kee, 70), Osbourne (McAllister, 73), Bishop, Adelakun (Myrie-Williams, 46), Madden, Taylor.
Substitutes not used: Olejnik, Brisley, Hawkridge, Wootton.
Attendance: 1,791 (374 away)