The measurement of this data aims to evaluate the wind shear variability at three selected sites in Malaysia. The sites are Kudat in Sabah, Kijal in Terengganu and Langkawi in Kedah. Both sites in Kudat and Kijal is located in coastal areas with few buildings or trees, while the site in Langkawi is a coastal area with many buildings or trees. The variables were measured using the sensors that mounted on the wind mast with the maximum height from 55 m to 70 m from ground level. The variables measured were wind speed, wind direction, temperature, and pressure, while the wind shear data were directly generated using the power law equation. The averaged wind shear based on measured multiple height wind speed at selected sites is larger than the 1/7 law (0.143). Also, the value of wind shear was higher in order Langkawi > Kudat > Kijal. Ultimately, the wind shear data are essential and can be reused in the wind energy potential study, especially for data extrapolation to desired wind turbine hub height.