The 46-year-old has revealed that, when he was 15 years old, he had a friend who moved to London for drama school, and took Michael to a drag club for the first time, and he thought it was "extraordinary".
The shows featured Paul O'Grady performing his stand-up comedy routine as his alter ego Lily Savage and Sheen was so impressed he seriously began contemplating it as a career for himself.
He said: "It was a very new world to me. I just couldn't believe it. I went and saw extraordinary things in these small pubs. There was Lily Savage, and we used to go see him perform at the Vauxhall Tavern in London and I just used to stand there agog, and thought this is incredible, and for a while I considered becoming a drag queen."
The 'Masters of Sex' star's love of drag queens extends to his TV show preferences, as he confessed that he thinks 'RuPaul's Drag Race' is "amazing".
Speaking to the Huffington Post, Michael said: "I think (RuPaul's Drag Race) is amazing. It's just brilliant. Everytime (RuPaul) says 'sashay away' it actually makes me want to weep. I find it very funny, very moving.
"There's a real edge to the performance of what they do. There's like a sharpness and a wit. When people are working with all cylinders firing, there's a real spontaneity and an edge to what's going on. I think that's amazing."