diff --git a/pennylane/devices/_qubit_device.py b/pennylane/devices/_qubit_device.py
index a54c2985290..ef9f41f0378 100644
--- a/pennylane/devices/_qubit_device.py
+++ b/pennylane/devices/_qubit_device.py
@@ -1110,7 +1110,11 @@ def classical_shadow(self, obs, circuit):
         n_snapshots = self.shots
         seed = obs.seed
 
-        with qml.workflow.set_shots(self, shots=1):
+        original_shots = self.shots
+        original_shot_vector = self._shot_vector
+
+        try:
+            self.shots = 1
             # slow implementation but works for all devices
             n_qubits = len(wires)
             mapped_wires = np.array(self.map_wires(wires))
@@ -1139,6 +1143,10 @@ def classical_shadow(self, obs, circuit):
                 )
 
                 outcomes[t] = self.generate_samples()[0][mapped_wires]
+        finally:
+            self.shots = original_shots
+            # pylint: disable=attribute-defined-outside-init
+            self._shot_vector = original_shot_vector
 
         return self._cast(self._stack([outcomes, recipes]), dtype=np.int8)
 
diff --git a/pennylane/measurements/classical_shadow.py b/pennylane/measurements/classical_shadow.py
index 6c502858cf8..200a48a25a5 100644
--- a/pennylane/measurements/classical_shadow.py
+++ b/pennylane/measurements/classical_shadow.py
@@ -284,7 +284,11 @@ def process(self, tape, device):
         n_snapshots = device.shots
         seed = self.seed
 
-        with qml.workflow.set_shots(device, shots=1):
+        original_shots = device.shots
+        original_shot_vector = device._shot_vector  # pylint: disable=protected-access
+
+        try:
+            device.shots = 1
             # slow implementation but works for all devices
             n_qubits = len(wires)
             mapped_wires = np.array(device.map_wires(wires))
@@ -311,6 +315,9 @@ def process(self, tape, device):
                 device.apply(tape.operations, rotations=tape.diagonalizing_gates + rotations)
 
                 outcomes[t] = device.generate_samples()[0][mapped_wires]
+        finally:
+            device.shots = original_shots
+            device._shot_vector = original_shot_vector  # pylint: disable=protected-access
 
         return qml.math.cast(qml.math.stack([outcomes, recipes]), dtype=np.int8)
 
diff --git a/pennylane/workflow/set_shots.py b/pennylane/workflow/set_shots.py
index 1bc7dff7f33..aaaed1a1a44 100644
--- a/pennylane/workflow/set_shots.py
+++ b/pennylane/workflow/set_shots.py
@@ -17,6 +17,7 @@
 """
 # pylint: disable=protected-access
 import contextlib
+import warnings
 
 import pennylane as qml
 from pennylane.measurements import Shots
@@ -26,6 +27,20 @@
 def set_shots(device, shots):
     r"""Context manager to temporarily change the shots of a device.
 
+
+    .. warning::
+
+        ``set_shots`` is deprecated and will be removed in PennyLane version v0.40.
+
+        To dynamically update the shots on the workflow, shots can be manually set on a ``QNode`` call:
+
+        >>> circuit(shots=my_new_shots)
+
+        When working with the internal tapes, shots should be set on each tape.
+
+        >>> tape = qml.tape.QuantumScript([], [qml.sample()], shots=50)
+
+
     This context manager can be used in two ways.
 
     As a standard context manager:
@@ -47,6 +62,12 @@ def set_shots(device, shots):
             "The new device interface is not compatible with `set_shots`. "
             "Set shots when calling the qnode or put the shots on the QuantumTape."
         )
+    warnings.warn(
+        "set_shots is deprecated.\n"
+        "Please dyanmically update shots via keyword argument when calling a QNode "
+        " or set shots on the tape.",
+        qml.PennyLaneDeprecationWarning,
+    )
     if isinstance(shots, Shots):
         shots = shots.shot_vector if shots.has_partitioned_shots else shots.total_shots
     if shots == device.shots:
diff --git a/tests/interfaces/legacy_devices_integration/test_set_shots_legacy.py b/tests/interfaces/legacy_devices_integration/test_set_shots_legacy.py
index 6e9739a631f..619bd74a066 100644
--- a/tests/interfaces/legacy_devices_integration/test_set_shots_legacy.py
+++ b/tests/interfaces/legacy_devices_integration/test_set_shots_legacy.py
@@ -14,7 +14,7 @@
 """
 Tests for workflow.set_shots
 """
-
+import pytest
 
 import pennylane as qml
 from pennylane.measurements import Shots
@@ -24,16 +24,18 @@
 def test_set_with_shots_class():
     """Test that shots can be set on the old device interface with a Shots class."""
 
-    dev = qml.devices.DefaultQubitLegacy(wires=1)
-    with set_shots(dev, Shots(10)):
-        assert dev.shots == 10
+    dev = qml.devices.DefaultMixed(wires=1)
+    with pytest.warns(qml.PennyLaneDeprecationWarning):
+        with set_shots(dev, Shots(10)):
+            assert dev.shots == 10
 
     assert dev.shots is None
 
     shot_tuples = Shots((10, 10))
-    with set_shots(dev, shot_tuples):
-        assert dev.shots == 20
-        assert dev.shot_vector == list(shot_tuples.shot_vector)
+    with pytest.warns(qml.PennyLaneDeprecationWarning):
+        with set_shots(dev, shot_tuples):
+            assert dev.shots == 20
+            assert dev.shot_vector == list(shot_tuples.shot_vector)
 
     assert dev.shots is None
 
@@ -42,6 +44,7 @@ def test_shots_not_altered_if_False():
     """Test a value of False can be passed to shots, indicating to not override
     shots on the device."""
 
-    dev = qml.devices.DefaultQubitLegacy(wires=1)
-    with set_shots(dev, False):
-        assert dev.shots is None
+    dev = qml.devices.DefaultMixed(wires=1)
+    with pytest.warns(qml.PennyLaneDeprecationWarning):
+        with set_shots(dev, False):
+            assert dev.shots is None