Shalimov started his playing career in Spartak Moscow. After a few successful seasons with Spartak Moscow he transferred to Foggia. He impressed enough to garner the attention and eventual transfer to Inter Milan. He has also played in the Italian Serie A for Bologna, Udinese and Napoli, as well as MSV Duisburg in Germany and AC Lugano in Switzerland.
He was a member of the USSR team which participated in the 1990 FIFA World Cup. After the collapse of the Soviet Union he represented the unified CIS team at the European Championship held in Sweden. He was one of a number of key players who refused to play for then coach Pavel Sadyrin at the 1994 FIFA World Cup. Two years later, in 1996, he became a member of the Russian national team for the European Championship held in England.
Shalimov ended his playing career in Napoli after being banned for two years for testing positive for nandrolone, a banned steroid substance. He has claimed that an anabolic, containing nandrolone was given to him while he was hospitalized in Moscow, to stop an internal bleeding.
He is currently the manager of Russia women's national football team.