Opting to bat, Afghanistan made a formidable 170 for five in the stipulated 20 overs, and restricted their opponents to 156 for five.
Shahzad's breezy knock included five boundaries and three sixes.
Skipper Asghar Stanikzai remained unbeaten on a steady 55 off 50 balls. He found the fence two times and cleared it once, dropping anchor at one end even though he looked far from convincing after the dismissal of Shahzad at the Vidarbha Cricket Association Stadium.
While opener Noor Ali Zardan (17) missed out after getting a start, Gulbadin Naib (12) fell to an outstanding catch by Josh Davey.
Shafiqullah then blazed his way to 15 off just five balls as Afghanistan reached a total that looked steep for Scotland, still seeking their first win over their rivals.
Scotland were off to a flying start in their chase as openers George Munsey and Kyle Coetzer put on 84 runs in just under nine overs.
Koetzer was dismissed by Samiullah Shenwari after scoring a breezy 40 off 27 balls, hitting four boundaries and a six in the process.
Scotland's momentum was stalled after the dismissal of the openers as Afghanistan tried to claw back into the game after conceding 94 runs in the first 10 overs.
Scotland were pegged back further as Afghanistan picked up the wickets of Calum MacLeod and Richie Berrington.
Matt Machan tried his bit, scoring 36 off 31 balls, but the asking rate kept heading north.
Afghanistan's 17-year-old leg-spinner Rashid Khan was impressive as he finished with figures of 2/28.
Brief scores:
Afghanistan: 170/5 in 20 overs (Mohammad Shahzad 61, Asghar Stanikzai 55 not out; Alasdair Evans 1/24, Mark Watt 1/30, Josh Davey 1/44)
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