There are numerous hints, and indirect pieces of evidence, but nothing conclusive. Binary neutron star mergers seem to perfectly match the properties of sGRBs, while no other models are able to---which is an indication in itself. Some of the relevant observations:
sGRBs come from old stellar populations without star formation (e.g. red ellipticals)
They have much larger separations from their host galaxies
The time duration and energy content matches expectations for binary neutron star systems
The observed and expected event rates are consistent (but the expectations have huge error bars)
The conclusive piece of evidence would be coincident detection of gravitationals waves from a sGRB source.