Multi-agent reinforcement learning involves multiple agents interacting with each other and a shared environment to complete tasks. When rewards provided by the environment are sparse, agents may not receive immediate feedback on the quality of actions that they take, thereby affecting learning of policies. In this paper, we propose a method called Shaping Advice in deep Multi-agent reinforcement learning (SAM) to augment the reward signal from the environment with an additional reward termed shaping advice. The shaping advice is given by a difference of potential functions at consecutive time-steps. Each potential function is a function of observations and actions of the agents. The shaping advice needs to be specified only once at the start of training, and can be easily provided by non-experts. We show through theoretical analyses and experimental validation that the shaping advice provided by SAM does not distract agents from completing tasks specified by the environment reward. Theoretically, we prove that the convergence of policy gradients and value functions when using SAM implies the convergence of these quantities in the same environment in the absence of SAM. Experimentally, we evaluate SAM on three tasks in the multi-agent Particle World environment that have sparse rewards. We observe that using SAM results in agents learning policies to complete tasks faster, and obtain higher rewards than: i) using sparse rewards alone; ii) a state-of-the-art reward redistribution method.