Measurements of the efficiency of the magnetic shield have been carried out for the ESS Spoke cavities. The magnetic shield is made of Cryophy, a Nickel-Iron alloy, and is mounted around the Double-Spoke cavity. It is composed of two 1mm-thick layers, actively cooled by cryogenic circuit (LHe @ 4K). The installation of a mock-up cavity in the prototype cryomodule (made of stainless steel) gave us the opportunity to characterize the efficiency of the magnetic shield. The set-up of the experiment will be presented. First results showed that, at room temperature, the residual magnetic field inside the mock-up cavity is reduced by a factor of approximately 300. Measurements at lower temperatures, between 20K and 60K, have also been carried out and showed no degradation of the magnetic shield efficiency. Results will be presented in details and discussed.