On this page of the Returnal guide, you will find the answer to whether the main character can use shields. Guarding yourself and reducing damage in the fight is important in every game.
Unfortunately, you have to play without using any shield most of the time However, this does not mean that we are completely vulnerable to enemy attacks. Dash in Returnal isn't just a regular dodge. You can use it to avoid projectiles flying in your direction. You need to activate the dash in a moment in which you will go through the projectiles while using it. A good idea, in this case, is to use a longer dash by holding a circle button (instead of a single push of the button).
You can wield a temporary shield using items found in the game - from loot or crafted in fabricators.
One example of this type of item is the Shield Vial, which is a consumable. After you use it, it will protect us from another attack and absorb its damage. This is especially useful during fights with opponents with strong attacks.
You can also get temporary protection from some parasites. The parasite from the example in the above picture can absorb 3 attacks. Unfortunately, using a parasite will cause a temporary debuff on Selene. Ignore parasites with strong debuffs, because in the end, they can do you more harm than help.