Initially playing in the newly formed Midland Alliance, the club enjoyed a successful first season, finishing 4th. The following season, under Manager Mark O'Kane, the club won the title by eight points. The season included a remarkable 23 game unbeaten start, which stretched into March.

After a hectic summer of improvement works, the club took up their place in the Southern Football League for the 1996/97 campaign.

Whilst league success proved harder to come by in their debut Southern League season, the club more than made up for this in the FA Cup by emulating their famous predecessors and reaching the First Round Proper. Despite a heavy away defeat at the hands of Carlisle United, the memory of the day will live long with all that were there.

The second season in the Southern League proved less successful, and with the team struggling near to the bottom of the league, Manager Mark O'Kane was replaced in February 1998, by John Hanna. The change of leadership had the desired effect with the club climbing to a creditable 16th place by the end of the campaign.

1998/99 saw the best league season to date. Shepshed were in the top six of the league for most of the season, but slipped to a final placing of 10th, after a poor run-in that was not helped by player availability problems.

1999/2000, the Centenary year for the club's ground "The Dovecote", saw a season-long battle against relegation, a final placing of 18th and the resignation of Hanna in July 2000. His assistant, Dave Williams, was immediately appointed as Manager.

Williams' first season in charge saw a creditable 15th place finish. The next two seasons saw the financial purse strings tightened, however whilst Shepshed flirted with relegation, a 16th place position was comfortably achieved in both seasons.

The summer of 2003 saw a change in the constitution of the football club that led to it becoming a private limited company whereby shareholders elect the board of directors. However, in footballing terms, the season can be fairly described as disastrous, as it saw two changes in management after Williams was sacked in October and his successor Dave Clay resigned in January. Pete McGurk then took charge of first team matters but despite improved results and performances, he had insufficient time to prevent Shepshed from finishing bottom of the Southern League Western Division.

However, the restructuring that took place during the summer of 2004 reprieved Dynamo from relegation and so saw them start their 10th anniversary season as new members of the UniBond League. McGurk led the team to a respectable 15th place finish in a season that also saw them win the Loughborough Charity Cup and Coalville Charity Cup double.