Preheat a skillet over medium heat.
In a small bowl, mix the mayonnaise, Worcestershire sauce, salt, and pepper. Spread this mixture on one side of each slice of sourdough bread.
On the unspread side of one slice, layer the shredded brisket, barbecue sauce, and cheddar cheese. Top with the second slice of bread, spread side up.
Melt the butter in the preheated skillet. Carefully place the sandwich in the skillet. Cook for about 3-4 minutes until the bottom is golden brown.
Flip the sandwich and cook for an additional 3-4 minutes until the cheese is melted and the other side is golden brown.
Remove from the skillet, let it cool for a minute, then slice in half and serve.