Santiago was a shepherd at the beginning of the story, but if this question is asked from a more metaphorical or allegorical stand-point then there might be many shepherds found therein. A shepherd is one who leads the way and has followers. Santiago, therefore, actually becomes a sheep, or a learner, who follows the advice of many others on his journey to find his treasure and to achieve his personal legend. Surely the Alchemist is a shepherd who leads Santiago during the final stages of his journey to the pyramids both physically and mentally. Melchizedek is a shepherd of sorts who pointed the way in the beginning. Throughout the story, though, Santiago follows the omens that he perceives from the world and universe around him; where they lead, he figures out a way to follow until he learns what they have to teach him.
The shepard is Santiago.