As an extension of the isotropic setting presented in the companion paper [J. Phys. A 52, 144002 (2019)], we consider the Langevin dynamics of a many-body system of pairwise interacting particles in $d$ dimensions, submitted to an external shear strain. We show that the anisotropy introduced by the shear strain can be simply addressed by moving into the co-shearing frame, leading to simple dynamical mean field equations in the limit ${dtoinfty}$. The dynamics is then controlled by a single one-dimensional effective stochastic process which depends on three distinct strain-dependent kernels - self-consistently determined by the process itself - encoding the effective restoring force, friction and noise terms due to the particle interactions. From there one can compute dynamical observables such as particle mean-square displacements and shear stress fluctuations, and eventually aim at providing an exact ${d to infty}$ benchmark for liquid and glass rheology. As an application of our results, we derive dynamically the state-following equations that describe the static response of a glass to a finite shear strain until it yields.
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