A thermocouple shield assembly comprising a first tube having an upper portion and a lower portion with a lower end, the first tube including a first elongated cavity closed at the lower end and receiving the thermocouple, a second tube having a second elongated cavity with at least one open end and receiving the upper portion while a part of the lower portion containing the thermocouple extends out of the open end, and a gap between adjacent walls of the second elongated cavity and of the first tube such as to allow independent thermal deformations of the first and second tubes. In use, at least a portion of the part of the lower portion of the first tube is subjected to a given temperature while the second tube is subjected to a different temperature. Methods of manufacturing and of assembling such a thermocouple shield assembly are also presented.