Hennig won the Miss Louisiana Teen USA 2004 in a state pageant held in Lafayette, Louisiana in November 2003. This was the first time that she competed in the state pageant. In August Hennig represented Louisiana in the Miss Teen USA 2004 pageant held in Palm Springs, California. She won the Miss Teen USA title, becoming the first winner from Louisiana and the first girl from Louisiana to win a national title since Ali Landry was Miss USA 1996. Her Miss Teen USA winnings included a one year modeling contract, with Trump Modeling Management, and a scholarship to The New York Conservatory for Dramatic Arts.
As Miss Teen USA, Hennig represented the Miss Universe Organization. Her "sister" 2004 titleholders were Jennifer Hawkins (Miss Universe, of Australia) and Shandi Finnessey (Miss USA, of Missouri), with whom she made appearances, which included a trip to Bangkok, Thailand. During her reign Hennig made numerous television guest and public speaking appearances, including a guest appearance in the NBC soap opera Passions which was part of her prize package.
Hennig also worked with a number of other non-profit organizations, including Seeds of Peace, D.A.R.E., Sparrow Clubs and SHiNE.
Shelley Hennig with Miss USA 2005 Chelsea Cooley during a visit to Guantanamo Bay
Her reign ended on August 8, 2005 when she crowned Allie LaForce of Ohio as the new Miss Teen USA.