Kevin Sharp played 18 games for Leeds before moving on and ending up at Scunthorpe.
"I've come in and felt right at home," said Keegan in the Yorkshire Evening Post.
"Mark and Kevin both started out at Leeds and they've been brilliant with me since I've been here. They know what it's like to be a young lad at a club like that and so they've talked to me and let me know about their experiences.
"But all the lads here have been brilliant. It's been great to work with someone like Peter Beagrie who's been there and done it all. You can see from watching him train that he's still a great player, and he's doing a bit of coaching so hopefully I can pick up a few things."