A nuclear reactor in one embodiment includes a cylindrical, body having an internal cavity, a nuclear fuel core, and a shroud disposed in the cavity. The shroud comprises an inner shell, an outer shell and a plurality of intermediate shells disposed between the inner and outer shells. Pluralities of annular cavities are formed between the inner and outer shells which are filled with primary coolant such as demineralized water. The coolant-filled annular cavities may be sealed at the top and bottom and provide an insulating effect to the shroud. In one embodiment, the shroud may comprise a plurality of vertically-stacked self-supported shroud segments which are coupled together.