This paper proposes an innovative utilization method of boron bearing blast furnace slag (B3FS) as a highly cost-effective shield for protection against neutron radiation hazards, thereby conserving natural resources and preventing environmental pollution. Characteristic of the shielding performance of the prepared composites against thermal neutrons were tested by an Am–Be neutron source combined with the Evaluated Nuclear Data File. To analyze shielding performance, the following parameters were employed: shielding percentage, macroscopic cross section, and partial macroscopic cross section. Shielding percentage of the prepared shielding composites ranged between 76% and 80.5%, which increased with the additional amount of B3FS and positively correlated with the density and the boron content of the prepared shielding composites. In addition, shielding ability of the prepared shielding composites proved to be superiour to some commercially available shields. This paper proposes a shielding mechanism against thermal neutrons in the prepared shielding composites. It was demonstrated that the thermal neutron radiation shielding effect was achieved by the absorption of Mg2B2O5 and the elastic scattering of epoxy resin matrix. The maximum resistance temperature of prepared shielding composites is about 230 °C, and bending strength exceeds 14 MPa.