A mezzanine connector assembly includes a mezzanine receptacle connector having a plurality of receptacle contacts arranged in pairs for carrying differential pair signals and each having a mating interface. The mezzanine receptacle connector has a plurality of receptacle ground shields surrounding each pair of receptacle contacts and providing electrical shielding from each other pair. The mezzanine connector assembly includes a mezzanine header connector having a plurality of header contacts arranged in pairs. Each header contact has a mating segment mated to the mating interface of the corresponding receptacle contact. The mezzanine header connector has a plurality of header ground shields surrounding each pair of header contacts and providing electrical shielding from each other pair of header contacts. The header ground shields are mechanically and electrically connected to associated receptacle ground shields to create shield boxes around the various mated pairs of header and receptacle contacts.