At the 2002 World Figure Skating Championships held in Nagano, Japan, Shen and Zhao won their first World Championship, becoming the first Chinese pair skaters to win a gold medal in the history of figure skating. Later in March 2003, as the defending world champions, the team also won their second World Championship in Washington D.C., United States. While practising their throw quadruple salchow, Shen landed badly and injured her landing foot and ankle. She required several treatments to numb the foot entirely so that she should compete. The pair performed a brilliant long program that earned them several perfect 6.0's for both technical merits and presentation.