North End dominated possession but looked toothless in attack, wasting several chances before Kevin Lisbie grabbed the U's opener with a header.
Man-of-the-match Sheringham made it two from the spot after Darren Carter's inexplicable handball in the box.
And Mark Yeates wrapped up the points with a fabulous 25-yard free-kick to prompt a mass exodus from home fans.
Colchester boss Geraint Williams:
"To be fair it doesn't get any better than that. Deepdale is always a hard place to come to and to come away with a 3-0 win is an excellent result for us.
"Teddy is class. He always has been and he always will be and he'll never lose that. He doesn't want anything to be different from any of the other players - he's a model professional.
"Everybody said he would be when I signed him and that is why he is still out there at 41."
Preston: Henderson, Alexander, St. Ledger, Mawene, Davidson, Sedgwick, Nicholls, Carter, Pugh (Whaley 58), Agyemang (Ormerod 67), Carroll.
Subs Not Used: Lonergan, Jones, Mellor.
Booked: Carter, Davidson, Nicholls.
Colchester: Davison, White, Baldwin, Connolly, Elokobi, Duguid, Izzet, Jackson, Yeates, Sheringham, Lisbie (Virgo 80).
Subs Not Used: Cousins, Granville, Guttridge, Wordsworth.
Goals: Lisbie 41, Sheringham 61 pen, Yeates 72.
Ref: Steve Tanner (Somerset).