"My dad worked two jobs and moved us to the suburbs, and just being a black person, I went through a lot of racism and being called names and being bullied every single day," Shepherd tells PEOPLE. "And it was hard. I didn't have any friends."
But there was an upside: She learned to make people laugh, and found strength through the adversity. "I think it made me who I am," she says. "That's why I'm a stand-up comic."
Speaking to PEOPLE on Friday at the opening night of Freckleface Strawberry the Musical, based on Julianne Moore's children's book, Shepherd, 43, said those difficult experiences growing up in Hoffman Estates, outside in Chicago, toughened her up.
"It was a lot of tears, but my parents told me I would make it through, and I did, and I am where I am, so it made me a little stronger," she said. "They said, 'You make people laugh.' I would make people who bullied me laugh, so that's my defense mechanism."
For more on bullying, see the new issue of PEOPLE on newsstands Friday, and our special week-long series with Anderson Cooper 360, airing on CNN nightly starting Oct. 4, along with a special PEOPLE-CNN-Cartoon Network Town Hall on Fri. Oct. 8 at 10 p.m.