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The shear shallow water model is an extension of the classical shallow water model to include the effects of vertical shear. It is a system of six non-linear hyperbolic PDE with non-conservative products. We develop a high-order entropy stable finite difference scheme for this model in one dimension and extend it to two dimensions on rectangular grids. The key idea is to rewrite the system so that non-conservative terms do not contribute to the entropy evolution. Then, we first develop an entropy conservative scheme for the conservative part, which is then extended to the complete system using the fact that the non-conservative terms do not contribute to the entropy production. The entropy dissipative scheme, which leads to an entropy inequality, is then obtained by carefully adding dissipative flux terms. The proposed schemes are then tested on several one and two-dimensional problems to demonstrate their stability and accuracy., Comment: Accepted in Journal of Scientific Computing (JOMP)