The New Zealand team of Shanks, Rushlee Buchanan and Lauren Ellis was the third fastest in qualifying behind gold medallist Australia and Great Britain.
But in the ride-off for bronze, the trio scorched their way around the track in 3min 21.552sec, lowering the previous world record of 3min 21.875sec set last year by Britain. They picked up the bronze medal in the process.
"We were absolutely stoked to come away with that world record," Shanks said from Denmark.
"Of course, we would have liked to be riding for that gold medal but it wasn't to be. We just didn't pull out that perfect performance in qualifying. But we can really take heart with the ride-off for third. We had a race plan and we executed it perfectly."
Shanks, who finished a disappointing fourth in the women's 3000m individual pursuit on Thursday, a title she won in Poland last year, said the performance in the team pursuit was a great consolation.
"I think I'll always be a bit dark about [the individual pursuit]. It wasn't one of my best days at all, and I was quite glad when the day came to an end.
"But today was definitely a consolation for that. It really was a bit of a mental effort to get up and turn over a new leaf and step out there with the girls. I knew the girls were excited to race, and that's the beauty of the team pursuit - you pull together and you are doing it for each other."
