The SEC also named Alabama safety Landon Collins defensive player of the week on Monday.
Shaw entered the Missouri game in the third quarter despite a sprained knee. He led the Gamecocks back from a 17-0 fourth-quarter deficit en route to a double-overtime win.
Fry, a freshman, kicked a 40-yard field goal in the second overtime.
Collins returned an interception 89 yards for a touchdown and forced a fumble in Alabama's win over Tennessee.
Auburn quarterback Jeremy Johnson is freshman of the week.
Mississippi State guard Gabe Jackson receives offensive line honors and South Carolina tackle Kelcy Quarles is defensive lineman of the week.