A shielded semiconductor device is made by embedding a ground shield between layers of a substrate. Semiconductor die are mounted to the substrate over the ground shields. An encapsulant is formed over the semiconductor die and substrate. The encapsulant is diced to form dicing channels between the semiconductor die. A plurality of openings is drilled into the substrate along the dicing channels down through the ground shield on each side of the semiconductor die. A top shield is formed over the semiconductor die. The openings in the substrate are filled with a shielding material to electrically and mechanically connect the top shield to the ground shield. The substrate is singulated to separate the semiconductor die with top shield and ground shield into individual semiconductor devices. IPDs in the semiconductor die generate electromagnetic interference which is blocked by the respective top shield and ground shield.