A header connector includes signal contacts, header shields and a header housing holding the signal contacts and the header shields. The signal contacts each have a base, a mating pin and a mounting portion. The header shields have walls defining shield pockets receiving corresponding pairs of the signal contacts to provide electrical shielding for the pairs of signal contacts. Each header shield has a base and a mounting portion. The header housing has a front shell and a rear shell. The front shell is dielectric and the rear shell is conductive and providing electrical shielding for the signal contacts. The front shell holds the signal contacts. The rear shell holds the header shields and is electrically connected to each of the header shields.