Sheley, 28, who appeared in court via a video link, said he understood the charges and could not afford the $100,000 required for his bond.
The ex-convict was arrested Tuesday night in Granite City, Ill., outside a bar. The bartender and patrons called police after recognizing Sheley from media reports.
"I looked over and he kept staring at me and looking away and looking at his surroundings and staring at me and looking away. And I said, 'I think I know you, by the way,' starting small talk, 'What's the special today, Bill?' And I knew it was him," said Samantha Butler, bar patron.
Another patron quietly flagged down a police officer in the parking lot. Sheley was arrested without incident as he walked out of the bar to smoke. His capture ended a two-state manhunt.
Police believe Sheley killed eight people. Authorities said the murder spree began in Sheley's hometown of Sterling, which is about 100 miles west of Chicago, where the body of 93-year-old Russell Reed was found inside a car trunk on June 26. Two days later, the body of Ronald Randall was found behind a Galesburg grocery store.
On Monday, the bodies of two men, Brock Branson and Kenneth Ulvey; a woman and a child, who have not been identified, were found in a Rock Falls apartment. Officials believe they died over the weekend.
Also on Monday, more than 250 miles away, the bodies of Tom and Jill Estes of Sherwood, Ark., were found behind a gas station in Festus, Missouri.
"If you can imagine the nicest people in the world it was them," said Justin Reed, who knew the Estes.
The Estes are believed to be random, but Sheley was at least acquaintances of the other victims, police said.
Investigators said the other victims all appeared to have died in the same manner and that evidence linked to Sheley was recovered at each scene. The FBI and Illinois State Police declined to elaborate.
Public records show Sheley has multiple convictions for robbery, drugs and weapons charges and has spent three years in prison. He reportedly traveled to Chicago to buy drugs before going on the alleged killing spree, police said.
"With alcohol and drugs in system he is capable of doing all that," said Monica Rodriguez, ex-wife.