Shielded sheaths are placed over implantable medical leads and/or implantable medical lead extensions to provide shielding from electromagnetic energy and to prevent heating at the electrodes. The shielded sheaths include insulative bodies with shield layers such as conductive braided wire or conductive foil tubular structures. The shielded sheath may be implanted at the time of implanting the lead and/or lead extension. The shielded sheath may also be implanted at a later time after the lead and/or lead extension has previously been implanted. The shielded sheath may be anchored onto the lead or lead extension.