diff --git a/doc/source/whatsnew/v0.24.0.txt b/doc/source/whatsnew/v0.24.0.txt
index f2ec08c61a6d8..5621476d3d4e7 100644
--- a/doc/source/whatsnew/v0.24.0.txt
+++ b/doc/source/whatsnew/v0.24.0.txt
@@ -544,6 +544,7 @@ Other API Changes
 - :class:`Index` subtraction will attempt to operate element-wise instead of raising ``TypeError`` (:issue:`19369`)
 - :class:`pandas.io.formats.style.Styler` supports a ``number-format`` property when using :meth:`~pandas.io.formats.style.Styler.to_excel` (:issue:`22015`)
 - :meth:`DataFrame.corr` and :meth:`Series.corr` now raise a ``ValueError`` along with a helpful error message instead of a ``KeyError`` when supplied with an invalid method (:issue:`22298`)
+- :meth:`shift` will now always return a copy, instead of the previous behaviour of returning self when shifting by 0 (:issue:`22397`)
 
 .. _whatsnew_0240.deprecations:
 
diff --git a/pandas/core/arrays/datetimelike.py b/pandas/core/arrays/datetimelike.py
index eb8821382037d..12e1dd1052e0b 100644
--- a/pandas/core/arrays/datetimelike.py
+++ b/pandas/core/arrays/datetimelike.py
@@ -548,7 +548,7 @@ def shift(self, n, freq=None):
 
         if n == 0:
             # immutable so OK
-            return self
+            return self.copy()
 
         if self.freq is None:
             raise NullFrequencyError("Cannot shift with no freq")
diff --git a/pandas/core/generic.py b/pandas/core/generic.py
index 2e5da21f573b0..cdc5b4310bce2 100644
--- a/pandas/core/generic.py
+++ b/pandas/core/generic.py
@@ -8282,7 +8282,7 @@ def mask(self, cond, other=np.nan, inplace=False, axis=None, level=None,
     @Appender(_shared_docs['shift'] % _shared_doc_kwargs)
     def shift(self, periods=1, freq=None, axis=0):
         if periods == 0:
-            return self
+            return self.copy()
 
         block_axis = self._get_block_manager_axis(axis)
         if freq is None:
diff --git a/pandas/tests/generic/test_series.py b/pandas/tests/generic/test_series.py
index 3393d7704e411..f0c6c969f765a 100644
--- a/pandas/tests/generic/test_series.py
+++ b/pandas/tests/generic/test_series.py
@@ -227,3 +227,22 @@ def test_valid_deprecated(self):
         # GH18800
         with tm.assert_produces_warning(FutureWarning):
             pd.Series([]).valid()
+
+    @pytest.mark.parametrize("s", [
+        Series([np.arange(5)]),
+        pd.date_range('1/1/2011', periods=24, freq='H'),
+        pd.Series(range(5), index=pd.date_range("2017", periods=5))
+    ])
+    @pytest.mark.parametrize("shift_size", [0, 1, 2])
+    def test_shift_always_copy(self, s, shift_size):
+        # GH22397
+        assert s.shift(shift_size) is not s
+
+    @pytest.mark.parametrize("move_by_freq", [
+        pd.Timedelta('1D'),
+        pd.Timedelta('1M'),
+    ])
+    def test_datetime_shift_always_copy(self, move_by_freq):
+        # GH22397
+        s = pd.Series(range(5), index=pd.date_range("2017", periods=5))
+        assert s.shift(freq=move_by_freq) is not s