Shields (2-1) pitched a four-hitter for his second consecutive complete game, Ben Zobrist hit a two-run homer and the Tampa Bay Rays spoiled a strong outing by Romero, beating the Toronto Blue Jays 2-0 on Sunday.
Romero (1-3) got his third straight loss despite allowing just two runs and five hits in seven innings, lowering his ERA to 3.00.
"It's frustrating losing ball games that we're in," Romero said. "I did everything possible to keep us in the game."
The Blue Jays were blanked for the first time this season and have lost 10 of 14 following a 5-2 start.
"Right now we've got a few guys who are trying to do too much," Toronto manager John Farrell said. "They're not trusting their abilities and letting the game come to them, particularly at the plate."
Romero allowed Zobrist's homer in the first. The Blue Jays have scored just three total runs in his past three starts.
"We're in a little bit of a funk but I can't control what they do as hitters," Romero said.
Romero struck out a season-high 10 and walked just one, retiring 14 of his final 15 batters.
"Classic example of having to get a good pitcher early," Rays manager Joe Maddon said. "Once he found himself and he settled in, he started making much better pitches with everything."
Shields threw just 95 pitches, wrapping up his seventh-career complete game in a brisk 2 hours, 5 minutes. The right-hander also threw a four-hitter against the Chicago White Sox last Tuesday.
"It felt really good," Shields said. "Obviously, being able to throw back-to-back complete games is something special."
Over the winter and during spring training, Shields worked with pitching coach Jim Hickey to tweak his delivery, changing the way he steps back when working from the windup and twisting his upper body less when he throws.
"I just simplified things," Shields said. "I'm a lot quieter in my delivery, I'm not so violent. I think I'm more under control and I think that's why I'm throwing my offspeed pitches for strikes consistently."
The Blue Jays were the latest team left baffled by the new-look Shields, who earned his first shutout since May 9, 2008, against the Los Angeles Angels.
"He was throwing strike one and from there he went to a lot of his offspeed," Toronto catcher J.P. Arencibia said. "His changeup was real good today, he kind of kept everybody off his fastball. He threw his changeup anytime and his curveball anytime, so it was tough."
It's the third time in Rays history that a pitcher has won back-to-back complete games. Rolando Arrojo did it in 1998 and Albie Lopez did it in 2000. Tampa Bay starters have worked seven or more innings in 11 of the past 12 games and posted a 2.46 ERA over that span.
Shields struck out seven, walked two and lowered his ERA to 2.35. The Rays won for the 10th time in 14 games following a 1-8 start.
Toronto's Jose Bautista walked in the first, the 11th straight plate appearance he'd reached safely. Needing one more to tie Lyle Overbay's team record, Bautista lined out sharply to third in the fourth.
"I finally stopped him, man," Shields said. "He's locked in right now and he was all series. Even the line drive to third base that Lopez caught was scorched."
Zobrist hit his fifth homer of the season and second in as many days. He lined an 0-2 pitch over the left-field wall.
"Other than one pitch, (Romero) was lights out," Arencibia said. "One pitch just stayed over the plate a little bit. We were trying to go up and in and it just stayed over the plate and (Zobrist) hit it out."
A switch-hitter, Zobrist hit a three-run shot from the left side of the plate in Saturday's 6-4 victory.
Shields didn't allow a hit until Juan Rivera's groundball single to begin the fifth. Arencibia and Travis Snider struck out before John McDonald lined a single to center, but Shields fanned Mike McCoy to end the inning.
Corey Patterson led off the Toronto sixth with a double down the right-field line, but Shields got the next three batters in order.
NOTES: The Blue Jays placed 2B Aaron Hill (strained right hamstring) on the 15-day DL, retroactive to April 20, and will recall RHP Jesse Litsch from Triple-A Las Vegas to start Tuesday's game at Texas. ... Rays 3B Evan Longoria (strained left oblique) faced live pitching in the batting cages before the game and could take regular BP during this week's series in Minnesota. Longoria hopes to return during Tampa Bay's next homestand. ... Rays LHP J.P. Howell (shoulder) will make his second rehab appearance Monday at extended spring training.