All perfect praise be to Allaah, The Lord of the Worlds. I testify that there is none worthy of worship except Allaah, and that Muhammad, sallallaahu ‘alayhi wa sallam, is His Slave and Messenger.
It is impermissible to name with a non-Arab name unless it is learnt that its meaning does not imply any connotation forbidden under Sharee‘ah. It is also impermissible to name with names that are peculiar to non-Muslims, like Joseph, John, etc. If the name is free from such prohibitions, it would be permissible to name with it.
Hence, if the name “Shehzar” does not imply a meaning disapproved by Sharee‘ah, it is not obligatory to change it.
Finally, we draw your attention to the fact that a Muslim should name his/her children with such good names as ‘Abdullaah, ‘Abdurrahmaan, and the names of the Prophets. For further benefit, see the criteria of names in Islam in Fataawa 82724 and 87262.