A protective device is provided for the threaded shaft of a machine in which the shaft extends between relatively fixed and movable machine parts in respectively rotary and driving connections. The device comprises a belt which is fixed at one end to the shaft near the fixed machine part, wound round the shaft at the same pitch as the shaft thread, and passed to a rotary member mounted on the movable member. If the shaft is only exposed up to the machine movable part, the rotary member is spring-loaded or driven to serve as a take-up/supply spool. If the shaft continues beyond the movable part, the belt is wound around the remainder of the shaft and connected at its other end to the shaft.