When matching this character the pinyin, the pinyin is "shen" but the sound I hear when I click on the pinyin is "shi". But when I match "什么” to it's pinyin I hear "shen me" like the pinyin. Is this supposed to happen?
I also noticed it Sopha. First of all and in general we must consider that the characters create syllables and as a consequence words monosyllabic, bisyllabic or with more syllables. In this way the characters have specific sounds, i.e. tones.
However it might happen that when considering characters individually they have other pronunciations corresponding to various meanings, different than the ones they have when associated for making words (or compound characters too e.g. 你 + 好 * = hello / * 好 -> 女 woman + 子 child = 好 good).
Anyway, as for your question about the character 什, it needs a specific observation. It can be pronunced both shén and shí but it also has two form of pinyin; further it changes the meaning, I found this in a dictionary:
什 shén (+ interrogative particle 么 "me" or only 什 "shén") = what
什 shí = tenth (used in fractions, writing checks etc) / assorted / miscellaneous
and this confirms it:
I think in this case without context 什 could mean anything, that's why Duolingo gives you that pronunciation too (but certainly it should write the second pinyin too -> shí ).