Our subject's given name is almost certainly Sherod, not Sherwood.  For one thing, if it were Sherwood, the spelling in his records would be more consistently Sherwood — as a name any school child who's read the tale of Robin Hood can spell.  Of the seven primary documents I have (see Sources below), he is Sherod four times, Sharod twice, and Sherwood only once.  Most importantly, he is Sherod in his own will.  SHEROD/SHERROD is a bone fide surname, which obviously must figure somewhere in Sherod's ancestry.  Of the two spellings, SHERROD is more common than SHEROD, but our subject's name appears consistently with a single "r."

Some secondary sources give our subject these parents:
Father definitely not:  Mastin HUNTER, b. 1829/30
Mother definitely not:  Mary Ann STANLEY, b. 5 Oct 1832
because this couple was much too young to be her parents.

— born in Jessamine Co., KY:
  9.  Drury WILLIS, b. ca. 1794 
10.  Jane WILLIS, b. ca. 1798; d. 3 Mar 1830, Sullivan Co., IN; bur. Land Cem., Sullivan Co., IN; m. 12 Mar 1817, Jessamine Co., KY, James LAND
11.  Levi WILLIS, b. 1800-1810 

1.  Jordan R. Dodd, ed.  1993.  Kentucky Marriages:  Early to 1850.  Liahona Research, Orem, UT (Broderbund CD-229):

Boatman, Robert

Willis, Mary A.

22 Dec 1807

Jessamine Co.

2.  Census Index:  Colonial America, 1607-1789 (Broderbund CD-310):

1789

Tax List

Willis, Sharod

KY

Madison

3.  Anon.  1991.  The 1795 Census of Kentucky [as constructed from tax lists].  T.L.C. Genealogy, Miami Beach, FL (said to include every extant tax list from the state of Kentucky for the year 1795):

Pg	Name	County
189	Willis, Edward	Madison
190	Willis, Sherod	Madison

These are the only WILLIS'es in Madison County.  Edward is almost certainly Sherod's brother.

4.  WorldConnect / Ancestry World Trees (online at RootsWeb.com/Ancestry.com):  Several files, but especially one that included these sources.  The submitter does not supply the given name used for each individual record, so in the above timetable I've entered them as "Sher'od."

Event: Will/Probate 23 JUN 1806 Will Bk A pg 160, 227, 397 Jessamine Co, Ky  Census: 1782 Mecklenburg Co., Va, pg 22 head of family 4 white  Event: Taxlist BET. 1785 - 1787 Pittsylvania Co., Va  Event: Taxlist BET. 1789 - 1792 Madison Co., Ky  Event: Taxlist BET. 1801 - 1805 Jessamine Co., Ky  Event: Deed 20 MAR 1786 Pittsylvania Co, Va Deed Bk 7, 591

5.  Kentucky Census Records ("Willis Research Center" online at RootsWeb.com):

17 Apr 1789 Tax List	Sharod Willis	Madison Co.
1795 [Tax List?]	Sherod Willis	Madison Co.
6 Aug 1800 Tax List	Sherwood Willis	Garrard Co.

6.  Email from Roaten E. Hinson, Jr., who conveys this record:

1799 Tax List

Sherod Willis

Garrard Co., KY

7.  Mrs. William Breckenridge Ardery.  1986.  Kentucky Records: Early Wills and Marriages.  Genealogical Publ. Co., Baltimore, MD (online at Genealogy.com):

p. 140

WILLIS, SHEROD.  March 3, 1806.  June 1806.  Wife: Mary Ann.  Daus: Elizabeth, Jane, other children but not named.  Ex: wife, John Ellenbaugh, John Hunter.  Wit: Joseph Hemphill, Joseph Dickerson.

8.  Mrs. Raymond Burch, et al.  1986.  "Jessamine County Will Abstracts."  Pp. 67-76 in W.B. Ardery.  Kentucky Records: Early Wills and Marriages.  Genealogical Publ. Co., Baltimore, MD (online at Genealogy.com):

p. 67	WILL BOOK A...
p. 68	SHEROD WILLIS — Page 160 — date of will, March 3, 1806; date of probate, June, 1806 — names wife, Maryann and children.

9.  WorldConnect / Ancestry World Trees (online at RootsWeb.com/Ancestry.com):  some well documented files online here.