Objective This study evaluates the impact of England's COVID-19 shielding programme on mortality in the City of Liverpool in North West England. Study design Shielded and non-shielded people are compared using data from linked routine health records on all people registered with a general practitioner in Liverpool from April 2020 to June 2021. Methods A discrete time hazard model and interactions between the shielding status and the periods of higher risk of transmission are used to explore the effects of shielding across the major phases of the COVID-19 pandemic. Results Shielding was associated with a 34% reduction in the risk of dying (HR = 0.66, 95% CI: 0.58 to 0.76) compared with a propensity-matched non-shielded group. Shielding appeared to reduce mortality during the first and third waves, but not during the second wave, where shielding was not mandated by the government. The effects were similar for males and females, but more protective for those living in the least deprived areas of Liverpool. Conclusions It is likely that the shielding programme in Liverpool saved lives, although this seems to have been a little less effective in more deprived areas. A comprehensive programme for identifying vulnerable groups and providing them with advice and support is likely to be important for future respiratory virus pandemics. Additional support may be necessary for socio-economically disadvantaged groups to avoid increased inequalities.