While not a shed, the first house I bought had a six stall garage, unattached. Three single stalls and one large space that was also 3 stalls in total. I rented out the three singles and one stall in the large space. The house was in a sketchy neighborhood, but I never had any issues with people breaking in. The only issue I had was that the tenant with the stall in the large place stopped paying me after a while. Luckily, he lived across the street, and I hounded him until he moved his crap out. Then, about a year later, it turned out the the tenant who had the end single stall had some flammable materials stored in a paper 50 gallon drum, and it caught fire early one morning, burning down the three single stalls. He then wanted to know if my insurance would cover his loss. The fire was so hot it melted aluminum siding that was stored there. That ended my career as a landlord lol.
Would I do it again? As we used to say in the Navy, "Not just no, but fuck no." The money, which wasn't great to begin with, wasn't worth the problems.