A shielded semiconductor device is made by mounting semiconductor die to a first substrate. An encapsulant is formed over the semiconductor die and first substrate. A dicing channel is formed through the encapsulant between the semiconductor die. A hole is drilled in the first substrate along the dicing channel on each side of the semiconductor die. A shielding layer is formed over the encapsulant and semiconductor die. The hole is lined with the shielding layer. The first substrate is singulated to separate the semiconductor die. The first substrate is mounted to a second substrate. A metal pillar is formed in the opening to electrically connect the shielding layer to a ground plane in the second substrate. The metal pillar includes a hook for a mechanically secure connection to the shielding layer. An interconnect structure is formed on the first substrate to electrically connect the semiconductor die to the second substrate.