Jennifer "Jenny" Shepard was the Director of NCIS.
Director Shepard's father, Colonel Jasper Shepard, was an official working at the Pentagon who was suspected of taking a bribe. While under investigation Colonel Shepard committed suicide. Jenny blamed René Benoit for her father's death and believed he was responsible for the allegations made against her father.
However, there exists circumstantial evidence that suggests that Colonel Shepard faked his suicide without Jenny's knowledge.
Nine years ago, while still an agent, Jenny worked with Agent Gibbs and Agent William Decker on a covert mission in Paris, involving the assassination of an arms dealer and his fiancee, named Svetlana. Jenny was assigned the task of neutralizing Svetlana, while Gibbs was assigned to kill the arms dealer. Gibbs accomplished his mission but, for reasons never disclosed, Jenny failed to neutralize Svetlana. This failure would ultimately cause the deaths of both William Decker and Jenny herself.
Several years later when Director Morrow left NCIS to become the Deputy Secretary for the Department of Homeland Security, Jenny was appointed to succeed him as Director of NCIS. Her tenure as Director was marked by many accomplishments including the death of the renegade Mossad agent Ari Haswari; the successful destruction of a terrorist cell as recounted in the episode "Grace Period"; the successful retrieval of a Cold War-era nuclear warhead as documented in the episode "Chimera"; and the death of René Benoit and the dissolution of his network.
Prior to her death Director Shepard was diagnosed with a terminal disease, one of the symptoms of which was a loss of coordination. The exact nature of the disease was never revealed. Only Donald Mallard and Gibbs were aware of her illness. She was killed in a shootout facing off against four men who were hunting her. The fifth man present was Mike Franks, who was working with Jenny to track Svetlana, whose fiance Gibbs had killed in Paris nine years ago. After her death Gibbs confronted Svetlana in Jenny's townhouse, and just as she pulled a gun Gibbs, Mike Franks walked in and shot her in the back. Gibbs and Franks then set fire to the townhouse to cover up Svetlana's death. The story leaked to the press stated that Jenny was the female body found in the fire, and that she died of smoke inhalation.
Jenny's relationship with Gibbs is quite complicated. Sometime prior to Jenny becoming Director of NCIS, she and Jethro had an intimate relationship, a relationship which affected their inital interactions after Jenny was appointed Director. Their relationship has since developed into a platonic one. As Director Shepard pointed out in the third season episode "Jeopardy," "Gibbs thinks of me like a wife."
Some trust issues exist between them, as demonstrated by the fact that Jen didn't help Gibbs for unknown reasons, when he and Ducky were arested by the French police. Also, she sometimes ignored the chain of command by making Gibbs team report to her first, and then to Gibbs. She also upset Gibbs when she assigned Ziva David to his team as a liason officer without telling him first. Additionally, she interfered on a few occasions and Gibbs told her he was not comfortable with her looking over his shoulder. Despite the tensions that stemmed from her appointment as Director they remained close friends.
The closeness of their relationship was reinforced at several points during the series. First, when René Benoit visited Jenny at home, the only other person from NCIS present at the meeting was Gibbs. Second, Gibbs and the team went to great lengths to clear DiNozzo of charges and to shield Jenny from murder charges during the course of events comprising the FBI investigation into the murder of René Benoit. Third, Jenny is one one of two people allowed to call Gibbs, "Jethro" on a regular basis. The other is Donald Mallard, which suggests they have known each other for a while and there is a high sense of trust on both sides. Gibbs' temporary retirement and subsequent return to NCIS created a temporary strain on their friendship.
Jenny also asserted to Mike Franks that she considered Gibbs to be her mentor as demonstrated by the exchange from the fifth season episode, "Judgment Day Part One" after Jenny picked a lock successfully: Franks asked, "Gibbs teach you that?" She responded, "Gibbs doesn't teach. You watch, you learn."