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Sheikh is married to Afshan Rafiq, who was Norway's first full member of the Norwegian Parliament Stortinget (for Høyre) from a minority background (Athar Ali and Shahbaz Tariq were both deputy representatives).
Muslim League leader Rajakar Athar Ali Khan was the father of a freedom fighter from Bagerhat who attained the gallantry award Bir Sreshtho for his bravery.
In February 1996 leader Athar Ali reacted strongly when a group of muslim city councilmen in Oslo took indirect distance to the Fatwā against novelist Salman Rushdie.