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Introduction Shielding aimed to protect those predicted to be at highest risk from COVID-19 and was uniquely implemented in the UK during the COVID-19 pandemic. Clinically extremely vulnerable people identified through algorithms and screening of routine National Health Service (NHS) data were individually and strongly advised to stay at home and strictly self-isolate even from others in their household. This study will generate a logic model of the intervention and evaluate the effects and costs of shielding to inform policy development and delivery during future pandemics.Methods and analysis This is a quasiexperimental study undertaken in Wales where records for people who were identified for shielding were already anonymously linked into integrated data systems for public health decision-making. We will: interview policy-makers to understand rationale for shielding advice to inform analysis and interpretation of results; use anonymised individual-level data to select people identified for shielding advice in March 2020 and a matched cohort, from routine electronic health data sources, to compare outcomes; survey a stratified random sample of each group about activities and quality of life at 12 months; use routine and newly collected blood data to assess immunity; interview people who were identified for shielding and their carers and NHS staff who delivered healthcare during shielding, to explore compliance and experiences; collect healthcare resource use data to calculate implementation costs and cost–consequences. Our team includes people who were shielding, who used their experience to help design and deliver this study.Ethics and dissemination The study has received approval from the Newcastle North Tyneside 2 Research Ethics Committee (IRAS 295050). We will disseminate results directly to UK government policy-makers, publish in peer-reviewed journals, present at scientific and policy conferences and share accessible summaries of results online and through public and patient networks.