'New Outlook' doesn't currently support shared mailboxes
Outlook for Mac has an option to use 'New Outlook'. This version doesn't currently support shared mailboxes, so you'll need to leave this turned 'Off' if you need to use them.
For a full list of the functionality of this version, see Microsoft's website article The new Outlook for Mac.
Before you begin:
You'll need to have your main account or the account with permissions to the shared mailbox already set up within Outlook for Mac.
Open the Outlook app. From the System Menu, click on Tools and select Accounts.
On the Accounts page, highlight the account with permissions to the shared mailbox and click on Advanced.
On the Advanced page, click on the Delegates tab. Under the Open these additional mailboxes: section, click on the '+'.
Search for the shared mailbox name from the Choose a Person box, highlight it and click 'Add'.
Back on the Advanced page, you should now see the shared mailbox listed. Click 'OK' and then close the Accounts page.
Your shared mailbox will now be listed in Outlook's mailbox pane.
Alternative method
Alternatively, you can open another mailbox (providing you have permission to do so), via the File > Open > Other User's Folder menu item. From the search box that appears, search and choose the required mailbox, choose what you want to open (for example, Inbox) and click Open. This will open just the inbox of the added mailbox, adding it into the mailbox pane list.