The quasi-experimental EVITE Immunity study investigates the effects of shielding clinically extremely vulnerable (CEV) people during the COVID-19 pandemic on health outcomes, healthcare costs and immunity in Wales to help prepare the United Kingdom for future pandemics. Shielding was intended to protect those at highest risk of serious harm from becoming infected with COVID-19. We report the cost of implementing shielding in Wales. The number of people shielding was identified from the Secure Anonymised Information Linkage (SAIL) Databank. Resource costs of shielding between March and June 2020 were collated using published reports, documents and web pages, freedom of information requests to the Welsh Government and personal communications (e.g. with the office of the Chief Medical Officer for Wales, clinicians and staff involved). When shielding began, 117,543 people were on the shielding list (46% male, 54% female). The total cost of administering the shielding programme and supporting people advised to stay at home in Wales during the initial fourteen weeks of the pandemic was £13,308,159 or £113 per person shielding. This included new resources required to compile the shielding list, inform CEV people of the shielding intervention and support and provide prescription and food deliveries. Since the list was adjusted weekly over the 3-month period (with approximately 130,000 people identified by June 2020), the cost per person shielded lies between £102 and £113. This is the first evaluation of the cost of implementing measures to meet the needs of those identified to shield in Wales. However, at the time of analysis, no opportunity cost data were available. The true cost of shielding, including its budget impact and opportunity cost and the intended and unintended effects and consequences of shielding need to be investigated and weighed up to inform whether shielding is a worthwhile policy for future health emergencies.