In 2008 Sheehy was appointed Artistic Director and co-CEO of the annual Melbourne Festival (then the Melbourne International Arts Festival) where he directed the 2009 to 2012 Festivals.
His predecessors in the position included Gian Carlo Menotti, Academy Award winner John Truscott, Sir Jonathan Mills and Robyn Archer.

At Melbourne Festival, the commissioning and presentation of the three premiere productions of Dirtsong (2009), Seven Songs to Leave Behind (2010) and Notes From the Hard Road And Beyond (2011) by the Indigenous music ensemble The Black Arm Band were significant events, directed by Steven Richardson.
The first was a celebration of preservation of Indigenous languages with Miles Franklin Award-winner Alexis Wright; the second an international collaboration by contemporary Indigenous singers and musicians including the legendary Gurrumul Yunupingu joined by Sinéad O'Connor, John Cale, Rickie Lee Jones and Meshell Ndegeocello; and the third saw Mavis Staples, Joss Stone, Emmanuel Jal and Paul Dempsey join The Black Arm Band to celebrate protest music from the 1960s through to contemporary Indigenous songs of activism.

The 2009 Melbourne Festival saw a 55% increase in the festival's economic impact on the city of Melbourne, with his subsequent Festival programs growing that figure by another 41% to $39.5 million, resulting in an overall increase of 120% (independent figures by Roy Morgan Research and Sweeney Research).
The Age newspaper claimed that in 2009 the Festival "regained much of the tensile strength it lost in recent years (with a program which) made this year's festival special and so beguiling."

Sheehy's 2011 Melbourne Festival broke box office records for that festival's 27-year history and the four Melbourne Festivals directed by him featured the Australian debuts of Ivo van Hove and Toneelgroep Amsterdam, Sasha Waltz and Guests, the National Theatre Company of China, Emmanuel Jal, Deutsches Schauspielhaus Hamburg and Sebastian Nübling, Calder Quartet, Fischerspooner, Pan Pan Theatre, Brain Failure, Caroline Stein, Stigmata, Hofesh Shechter Company, Beans, Peeping Tom Collective, Maxim Rysanov, James Rhodes, Isango Portobello Ensemble, Ramallah Underground, Lithuanian Chamber Orchestra, Quartetthaus, and the sculptural works of Russian art collective AES+F.
In Melbourne Sheehy also programmed his first composer-in-residence suite of works, with British composer Thomas Adès, as well as the London Philharmonic Orchestra (hosting the Orchestra's Patron HRH Prince Edward, Duke of Kent).
These and other classical music presentations were in counterpoint to Sheehy's contemporary music programs, curated with Hannah Fox and Tom Supple, mostly staged at Melbourne's historic Forum Theatre.
International and national music artists performed in genres as diverse as post-rock, noise rock, psychedelic jazz-hop, R&B funk-rap, synthpop, electroclash and extreme metal, with geographic surveys from Palestinian hip-hop to Chinese indie rock, hardcore and punk to Sri Lankan heavy metal.

For the opening weekend of Sheehy's final Melbourne Festival program he returned to an artist from the Sydney Festival's Came So Far For Beauty concerts, Antony Hegarty, and presented the Museum of Modern Art commission Swanlights  – a musical artwork created by Antony, Chris Levine and Carl Robertshaw with 44-piece orchestra, based on the Antony and the Johnsons album of the same name.
The production Swanlights had been presented one other night previously, at Radio City Music Hall in New York City.
For the Melbourne presentations Antony was joined by Boy George, who also appeared at the 2012 Melbourne Festival Hub.
 Other featured international artists that year were The Forsythe Company, Akram Khan Company, the Schaubühne of Berlin, Michel van der Aa, Thurston Moore, Billy Bragg, Lee Ranaldo, Young Jean Lee's Theater Company, Gob Squad, Nilaja Sun, THEESatisfaction, Hahn-Bin, Tim Fain, Duo Amal, Santiago Sierra and Gregory Crewdson.
In 2008 Sheehy was appointed Artistic Director and co-CEO of the annual Melbourne Festival (then the Melbourne International Arts Festival) where he directed the 2009 to 2012 Festivals. His predecessors in the position included Gian Carlo Menotti, Academy Award winner John Truscott, Sir Jonathan Mills and Robyn Archer.
At Melbourne Festival, the commissioning and presentation of the three premiere productions of Dirtsong (2009), Seven Songs to Leave Behind (2010) and Notes From the Hard Road And Beyond (2011) by the Indigenous music ensemble The Black Arm Band were significant events, directed by Steven Richardson. The first was a celebration of preservation of Indigenous languages with Miles Franklin Award-winner Alexis Wright; the second an international collaboration by contemporary Indigenous singers and musicians including the legendary Gurrumul Yunupingu joined by Sinéad O'Connor, John Cale, Rickie Lee Jones and Meshell Ndegeocello; and the third saw Mavis Staples, Joss Stone, Emmanuel Jal and Paul Dempsey join The Black Arm Band to celebrate protest music from the 1960s through to contemporary Indigenous songs of activism.
The 2009 Melbourne Festival saw a 55% increase in the festival's economic impact on the city of Melbourne, with his subsequent Festival programs growing that figure by another 41% to $39.5 million, resulting in an overall increase of 120% (independent figures by Roy Morgan Research and Sweeney Research). The Age newspaper claimed that in 2009 the Festival "regained much of the tensile strength it lost in recent years (with a program which) made this year's festival special and so beguiling."
Sheehy's 2011 Melbourne Festival broke box office records for that festival's 27-year history and the four Melbourne Festivals directed by him featured the Australian debuts of Ivo van Hove and Toneelgroep Amsterdam, Sasha Waltz and Guests, the National Theatre Company of China, Emmanuel Jal, Deutsches Schauspielhaus Hamburg and Sebastian Nübling, Calder Quartet, Fischerspooner, Pan Pan Theatre, Brain Failure, Caroline Stein, Stigmata, Hofesh Shechter Company, Beans, Peeping Tom Collective, Maxim Rysanov, James Rhodes, Isango Portobello Ensemble, Ramallah Underground, Lithuanian Chamber Orchestra, Quartetthaus, and the sculptural works of Russian art collective AES+F.
In Melbourne Sheehy also programmed his first composer-in-residence suite of works, with British composer Thomas Adès, as well as the London Philharmonic Orchestra (hosting the Orchestra's Patron HRH Prince Edward, Duke of Kent). These and other classical music presentations were in counterpoint to Sheehy's contemporary music programs, curated with Hannah Fox and Tom Supple, mostly staged at Melbourne's historic Forum Theatre. International and national music artists performed in genres as diverse as post-rock, noise rock, psychedelic jazz-hop, R&B funk-rap, synthpop, electroclash and extreme metal, with geographic surveys from Palestinian hip-hop to Chinese indie rock, hardcore and punk to Sri Lankan heavy metal.
For the opening weekend of Sheehy's final Melbourne Festival program he returned to an artist from the Sydney Festival's Came So Far For Beauty concerts, Antony Hegarty, and presented the Museum of Modern Art commission Swanlights  – a musical artwork created by Antony, Chris Levine and Carl Robertshaw with 44-piece orchestra, based on the Antony and the Johnsons album of the same name. The production Swanlights had been presented one other night previously, at Radio City Music Hall in New York City. For the Melbourne presentations Antony was joined by Boy George, who also appeared at the 2012 Melbourne Festival Hub.  Other featured international artists that year were The Forsythe Company, Akram Khan Company, the Schaubühne of Berlin, Michel van der Aa, Thurston Moore, Billy Bragg, Lee Ranaldo, Young Jean Lee's Theater Company, Gob Squad, Nilaja Sun, THEESatisfaction, Hahn-Bin, Tim Fain, Duo Amal, Santiago Sierra and Gregory Crewdson.
Brett Sheehy