The midfielder, signed from Swansea City in January, was handed the skipper's armband for Wednesday night's game against Stoke City in the absence through injury of Fabricio Coloccini.
A late goal from Xherdan Shaqiri condemned relegation-threatened Newcastle to a sixth successive away defeat in the league.
Shelvey will again lead out second- bottom United against Bournemouth at St James's Park tomorrow.
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The 24-year-old said: "It's my first competitive game as captain and I'm gutted we have lost, but it's an honour to captain this great club. There's so much history.
"It's something I have wanted to do since I came here.
"Colo is a great captain, but he's obviously injured at the moment. I'm always learning bits from him on how to speak to the players.
"If he's not available to play, I'm always happy to step in and take the armband. It means so much to me.
"I'm quite vocal. I'm vocal on and off the pitch, and like to get my point across and like to demonstrate to my other team-mates what needs to be done.
"You have to do it, though, and if you do then others will follow. That's the example I want to set.
"I felt I did OK and led by example. It's disappointing to end my first game as captain with a loss, but hopefully there will be many more with wins."