Sherrock crashes out of World Championship in first round
Despite winning the first set, Sherrock missed some golden opportunities to extend her lead and would eventually come to regret not taking her chances.
Evans came from behind to win, meaning that all three of the women who entered this year's tournament have now been eliminated.
"I knew it was going to be tough, but I didn't expect it to be that tough!" Evans told Sky Sports.
"She is good! People are cheering because there's a lady playing, but they don't respect how good she actually is at darts.
"She was the better player in that game! I got away with that and I'm so happy to win - I'm chuffed to bits."
Elsewhere, five-time world champion Raymond van Barneveld defeated Ryan Meikle 3-1 to set up a third round tie against world number one Gerwyn Price.
Van Barneveld lost the first set but bounced back to win the next three and advance to the next round.
