An active compensation technique is presented for improving the performance of a mu -metal magnetically shielded room. Active compensation is established by measuring the magnetic field inside the room by a SQUID magnetometer. The output of this sensor is amplified and connected to a coil surrounding the room. The magnetic field generated in this way compensates the measured field inside the room. Active compensation was tested for magnetic fields in the vertical direction in a shielded room with one mu -metal shield. At low frequencies a shielding improvement of typically 40 dB was obtained. Measurements performed on a room with two mu -metal shields indicated that the attainable improvement is not limited by the amount of mu -metal applied in the room. The active compensation set-up is described in detail and experiments performed on the two magnetically shielded rooms are presented and discussed.