Moblins carrying Shields in general have appeared in a few Zelda games, such as the Sword Moblins of Link's Awakening and the armored Moblins of A Link Between Worlds, but are not necessarily referred to as Shield Moblins by name.
In Skyward Sword, Moblins appear as corpulent red monsters twice the size of Link. Their brute strength and durable Shields they carry makes them considerably dangerous enemies. Shield Moblins begin to appear after the trial at Farore's Silent Realm is completed. They can be then found in Faron Woods, Lanayru Desert, Eldin Volcano, Skipper's Retreat, the Sky Keep, and during the Horde Battle.
Shield Moblins come in two variants in Skyward Sword, both equipped with spears and Shields.
Wooden Shield Moblin
Wooden Shield Moblins brandish a wooden, square-shaped Shield and a long wooden spear. Its only attack is stabbing Link with its spear. Link can cut its shield down into small pieces with his Sword, leaving the beast defenseless and open for attack. The Moblin can counterattack this if it turns its Shield and Link strikes it. However, after the Shield has been cut down, it will become enraged and use both hands to swing its spear at Link aggressively, and also charge at Link (if he keeps his distance) while using its spear as a jostling vault. Link can also jump behind the Moblin by dashing onto its Shield and climbing over it, jumping over and exposing the monster's behind for an attack. After a Moblin is defeated, it will tumble forward; if Link stands too close to the Moblin when it falls, he will be knocked back by the Moblin's heavy body, but will not be damaged.
Metal Shield Moblin
Later in the game, a second variety of Moblin known as a Metal Shield Moblin appears. They carry an iron Shield that cannot be cut down by Link's Sword and is impervious to Bombs, requiring that Link climb over the Shield in order to attack its backside. They are also more heavily armored and wear an iron helmet, and take more hits to defeat. This type of Moblin is rare, but Link has to face two of them at once on a bridge in the Sky Keep as part of a long battle sequence.
A Link Between Worlds
Shield Moblins appear similarly to Spear Moblins, but are more heavily armored. They only appear in Lorule and behave similarly to Sword Soldiers such as seeking out and chasing Link upon detecting him. Unlike Sword Soldiers, the moblin shield is much more effective and thus they are more difficult enemies. Their shield can only be destroyed by Master Sword Lv2 and Master Sword Lv3, though a hookshoot can remove it. The regular Shield Moblin variant has a blue loincloth and a machete like sword, whilst the more powerful variant has a red loincloth and a two pronged spear.