Born near London, Steve became an oil painter, photographer and printer, graduating in Fine Art at Leeds University, England in 1980. He then joined British experimental theater company Impact Theatre Cooperative as an actor with whom he devised thirteen original shows touring throughout the UK and Europe. When Impact disbanded in 1986 Steve went on to write, direct and design a dozen new shows for his own theater company which performed in Britain, the United States, Italy, Hungary and Bosnia. Retrospectives of his work were staged at Glasgow's Centre for Contemporary Arts in 1992 and London's Institute of Contemporary Arts in 1993.

Steve was admitted into the BBC Drama Director's Course in 1993. He went on to direct EastEnders, Casualty and The Bill before relocating to New York in 1999. After working primarily for Sidney Lumet and Dick Wolf, Steve began to work for HBO on The Wire in Baltimore and then The Sopranos, Rome, Deadwood, Carnivale and Big Love. He was nominated for a 2006 WGA Award for his writing on Deadwood.

He directed the pilot episode of Showtime's The Tudors and served as a regular director and executive producer throughout the first season. He has also directed episodes of Showtime's Brotherhood and Dexter. Shill directed all eight episodes of Spike TV's The Kill Point mini-series and also served as an executive producer. Shill directed and co-executive produced the 2008 Knight Rider TV movie which served as a pilot for a remake of the series.

Shill has also directed numerous episodes of memorable network programs, including all three programs of the Law & Order series, Night Stalker, Invasion, Commander in Chief, Dragnet, ER and The West Wing. He directed the theatrical feature Obsessed starring Idris Elba, Beyonce Knowles, and Ali Larter, which received negative reviews. The film nevertheless opened at number one in the United States of America in April 2009, taking almost $70m at the box office and becoming Screen Gems' second biggest opening weekend in their history.

In 2010 he directed the first season episode "Painkiller" for the legal drama series The Good Wife. Shill had acting roles in The Last Temptation of Christ, The Missing Reel, Kinsey and Being Human. In 2010, Steve won the Emmy for "Outstanding Directing in a Drama Series" for his work on the Showtime series "Dexter." He earned the award for his direction of the Season 4 finale, "The Getaway. Steve is represented by CAA and 3 Arts Entertainment and lives in Los Angeles with his wife and three children.