Skyshard can be found on water, close to the northern wall of The Lightless Oubliette POI. It is well hidden between this huge wall and a tall dark rock. If you wonder where its name comes from; when you reach its location turn north. You can see a shattered bridge in the distance. Quite an amazing view.
Western Coldharbour, in vicinity of The Lightless Oubliette (Daedric Ruins POI), west of Moonless Walk Wayshrine.