A shroud segment including a forward radial wall, an aft radial wall and at least one interlocking subcomponent. The forward radial wall, an aft radial wall and the at least one interlocking subcomponent are each formed of a ceramic matrix composite (CMC) including reinforcing fibers embedded in a matrix. The shroud segment further including an interlocking mechanical joint joining each of the forward radial wall and the aft radial wall to the at least one interlocking subcomponent. Methods are also provided for joining the forward radial wall and the aft radial wall to the at least one interlocking subcomponent using an interlocking mechanical joint.