He once stood as Liberal]] candidate in Paisley, but later rejected the party's pro-EU stance after having served for ten years (1980-1990)as Convenor of European Studies--the postgraduate MA programme at LSE. Having examined hundreds of theses on the EU, having met its bureaucrats and having listened to its political apologists in both that capacity and as joint Chairman of LSE's European Research Seminar, he came to believe that the EU was corrupt and antidemocratic, not to mention an economic drag on the British economy. He was a founding member of the supposedly non-partisanBruges Group and at the centre of notoriety there until 1991, when he was expelled by its Tory-dominated executive committee. This was because in 1991 he had founded the Anti-Federalist League, a eurosceptic|anti-EU]] political party that promised to run candidates in the 1992 general election (and did--Sked causing the defeat at Bath of Tory Party Chairman and presumed successor as prime minister to John Major, Chris Patten, by forcing him to refuse to apologise for the poll tax.). In 1993 Sked stood in two parliamentary by-elections, one at Newbury, where he shared a platform with Enoch Powell, who spoke in his support, and soon after at Christ Church. On both occasions he came fourth after the major parties (There were nineteen candidates at Newbury!) and encouraged by these results, the AFL changed its name that year to the UK Independence Party]] (UKIP). Sked, however, resigned the leadership shortly after the 1997 general election, dismayed at party factionalism and the growing influence of radical, far-right opinion in the party's ranks, saying that it was "doomed to remain on the political fringes." He was also firmly opposed to its new opportunistic demand to take up places in the European Parliament if seats should be won there. Instead, he wanted all party efforts to be concentrated on the Westminster Parliament which alone could repeal the Act of Accession of 1972. In any case, he found that UKIP was detracting too much from his academic career.
Shortly before each subsequent national election (1999, 2001 and 2004) he published articles rightly accusing UKIP of extremism and incompetence. A few days before the 2004 election to the European Parliament, in which UKIP increased their representation from three to twelve seats, he criticised his former party in a national newspaper, saying, "they are racist and have been infected by the far-right." He also went on record as saying, "UKIP is even less liberal than the BNP. Certainly, there is a symbiosis between elements of the parties," and, "UKIP’s MEPs are a standing joke at Strasbourg, where their attendance record, even by the standards of most MEPs, is relatively poor and where, according to independent research by the European Studies centre at the London School of Economics, the three often vote in different ways on the same issue." Sked today remains an interested observer of the political scene and a keen and highly proficient squash player. The best account of his political career can be found in his short article, 'Reflections of a Eurosceptic' published in Mark Baimbridge (ed) 'The 1975 Referendum on Europe', Vol. I: 'Reflections of the Participants', Exeter, 2007, pp. 140-147 (imprint-academic.com).