In "Biblical Perspective" Gordon Snider writes:

The shadow of death emphasizes a place of deep darkness and gloom, which may or may not be associated with death. I will fear no evil. This statement must be balanced with other passages, such as Psalm 56:3, 4, where the psalmist admitted that he struggled with fear. Christians do not ignore difficulties; they conquer them. In the metaphor evil clearly did not have moral implications for the sheep. Bad things do happen to good people, but the psalmist said that he did not fear that those bad things would have a permanent injurious effect on his life. The basis of his confidence was the presence of the Shepherd — thou art with me. The Shepherd's primary goal is to get us to the destination. His motivation is to keep us on the “right path.”

Source: Studies in the Psalms: Adult Teacher's Insights, page 18.