Let e be an arbitrary even nilpotent element in the general linear Lie super- algebra glM|N and let We be the associated finite W-superalgebra. Let Ym|n be the super Yangian associated to the Lie superalgebra glm|n. A subalgebra of Ym|n, called the shifted super Yangian and denoted by Ym|n(σ), is defined and studied. Moreover, an explicit iso- morphism between We and a quotient of Ym|n(σ) is established.