A thermal protection shield for a rotating shaft of a primary coolant pump shaft of a nuclear power station includes, in the thermal transition region between the hot fluid and the cold fluid, a ring of nickel alloy shrunk onto the shaft. An external ring of austenitic stainless steel is shrunk at each of its ends onto the ring of nickel alloy. Between the two shrunk-on ends, a cylindrical cavity forms a clearance with the external surface of the nickel alloy ring.