When  people discover that the shed has been made from pallets they immediately infer it will be full of holes. There are some good examples of this here http://summerville-novascotia.com/PalletWoodShed/.

Waterproofing the shed

However we wanted the shed to have some sort of water resistance and not be open to the weather.   Your average shed uses ship lap wood to prevent water getting through between the planks. This wasn’t really a practical option as the work involved in routing would have been too great so instead we choose to build an inner lining and fit water proof sheeting between the two. We could have gone further and filled insulation beteen but again that seemed a little over the top for what is after all just a shed.