Harding stopped 26 shots, and Minnesota beat the Phoenix Coyotes again, 4-1 Sunday.
Sheppard, Pavol Demitra, Eric Belanger and Marian Gaborik scored for the Wild, winners of three straight. Foy had an assist for Minnesota, which has beaten Phoenix seven straight times, outscoring the Coyotes 21-8. The Wild are 9-1 in the last 10 meetings between the teams.
Shane Doan scored a power-play goal for Phoenix, which lost for the second time in eight games.
Harding, expected to back up Niklas Backstrom this season, has been stellar for Minnesota in his last three outings. Since replacing Backstrom in the second period of Thursday's win at Detroit, Harding has stopped 93 of 97 shots, including 41 saves Friday at Chicago.
"The defenseman are doing a good job of letting me see the puck, and they're clearing out the guys in front, clearing out the rebound attempts," Harding said. "They're making it pretty easy out there."
He sees no competition with Backstrom to be the club's No. 1 netminder.
"When you can go with two people it creates competition between the two goaltenders. It's a healthy competition because Nik and I are very good friends, and it just makes us both play a lot better."
Much like when Manny Fernandez and Dwayne Roloson combined to backstop the Wild deep into the 2003 postseason, coach Jacques Lemaire refuses to endorse either as the top man.
"The one that stops the puck is ahead of the other one," he said. "The one that stops more pucks is the best one."
Foy and Sheppard, both a plus-one against Phoenix, are thriving with Todd Fedoruk on Minnesota's fourth line. Fedoruk, claimed off waivers on Nov. 22, was a career-best plus-3.
Foy has two goals and two assists in three games; Sheppard has one goal and three assists; and Fedoruk one of each.
"The way they're playing I can't take any of them out of the lineup," Lemaire said.
With forwards Branko Radivojevic and Derek Boogaard expected to return from injuries soon, Foy has often been mentioned as the player who could lose his roster spot.
"It's not like I'm showing them what I can do because they already know," he said. "It's just a matter of going out there and having confidence in myself and my linemates."
Demitra gave the Wild a 1-0 lead midway through the second period, beating Ilya Bryzgalov with a wrist shot from the right circle.
Phoenix coach Wayne Gretzky is disappointed in his goaltender's recent play, expressing concern that Bryzgalov might be getting tired.
"I thought the first goal wasn't a very good goal. Bryzgalov is better than that. And when you get behind 1-0 in this rink against this team it's tough," he said. "I know he's much better than this. He was below average in Edmonton and he was average the other night in Vancouver and again tonight."
Less than 30 seconds later, Harding made his biggest save, stretching to glove a shot by Craig Weller during a 2-on-1.
"[Backstrom] is a great goaltender, but for Josh to come in kind of as a second goalie and really step it up really helps this team," said Sheppard, who beat Bryzgalov with a wrist shot from high in the right circle four minutes later for his first goal in 21 games.
Sheppard, the ninth pick in the 2006 draft, scored 33 goals in juniors last season before making the Wild in training camp. He was centering Gaborik and Demitra early in the season, but has now found a home with Foy and Fedoruk.
"Our success is from us working hard on the forecheck, and just being better than their other lines," Sheppard said. "The more we do that, the more Jacques plays us, and when he looks down the bench for who's going out next and he says us, he's confident putting us out there."
Belanger beat a screened Bryzgalov to make it 3-0 at 2:11 of the third period, and Gaborik scored on a one-timer 10 minutes later.
Doan, who was whistled for being just ahead of Peter Mueller crossing the Wild blue line with the puck during a 2-on-0 advantage in the second period, scored a power-play goal with 5:27 to play.
The Coyotes finished a four-game trip through western Canada and Minnesota with a 2-2 record. Tied with Philadelphia, Montreal and Toronto for fewest home wins in the NHL (eight), the Coyotes play their next five games in Arizona.
"You want to stay .500 on the road, but I don't think we're too happy with the two games and the way we lost them," Doan said.
Sheppard's previous goal was Nov. 28 against Phoenix. ... Radivojevic sat out his second straight game due to a stiff neck. ... Minnesota D Sean Hill missed the game after spraining his ankle Friday in Chicago. ... The Coyotes' last win over Minnesota was Nov. 14, 2006.
Copyright by STATS LLC and The Associated Press
Arena: Xcel Energy Center Location: Saint Paul, Minnesota
Referees: Kerry Fraser Linesmen: Brian Mach, Lyle Seitz
Attendance: 18,568 (102.8% full)
Team Stat Comparison
Power Play Goals
Power Play Opportunities
Shots on Goal
No scoring this period
Pavol Demitra (9)
Assists: Pierre-Marc Bouchard, Martin Skoula
James Sheppard (3)
Assists: Matt Foy, Todd Fedoruk
Eric Belanger (12)
Assists: Marian Gaborik, Josh Harding
Marian Gaborik (25)
Assists: Pavol Demitra, Brent Burns
Shane Doan (12)
(Power Play) Assists: Ed Jovanovski, Peter Mueller