After taking over from Claudio Ranieri in February with the defending Premier League champions one point above the relegation zone, he has won all six matches in charge.
One of those was a victory over Sevilla that saw them qualify for the Champions League quarterfinals.
The other four wins saw him join Pep Guardiola, Carlo Ancelotti, Guus Hiddink and Jose Mourinho as the only manager to win their first four games in the competition.
And as they host the Black Cats tonight, he is out to make it five in a row and become the only British coach to do so.
With the chance to stretch the gap on the bottom three to six points ahead of a crucial clash against bottom club Sunderland, Shakespeare is proud of his run.
He says: “I’m very proud.
“You sometimes have to pinch yourself in terms of some of the names mentioned.
“I know I’m in the very early stages of my management career but to be mentioned in the same breath as them makes me proud, but I realise that there are a lot of people to thank along the way.
“That’s in terms of my previous managers when I’ve been an assistant but also the players as well.”
Foxes rightback Christian Fuchs knows that he and his teammates must stay grounded against David Moyes’ desperate side to get the points and stay out of trouble.
The Austrian says: “Obviously they’re down there and they need points very urgently.
“It’s going to be a tough game and a tough fight.
“We saw away that they’re a good side even though they’re down there.
“They’re hard to play against but again, it’s all about us.
“We’ve shown in the last couple of games that when we focus on us, we’re a good side. In the last five games, we’ve shown we’ve got great quality in our team and we want keep going.
“Sunderland is a strong side because they’re fighting for every point and don’t want to be relegated.
“They want to stay in the Premier League as well and we’re aware of that and we’re ready.”