In this paper, shielding gas (He) and shielding quartz tube (straight tube and conical tube) is added to nanosecond pulsed He gas-liquid discharge for the purposes of enhancing the plasma volume and productions of •OH and H2O2. The plasma properties, including current-voltage waveforms, the temporal-resolved discharge images, optical emission spectra, gas temperature, electron density, and the •OH and H2O2 productions are analyzed and compared among different discharges generated under the cases of no shielding, shielding He gas, shielding straight tube, and shielding conical tube. The results show that adding shielding gas and tubes in the discharge reactor can decrease the gas temperature and electron density, but enhance the plasma volume and area of plasma-liquid interface in comparison with no shielding case. In comparison, the addition of shielding gas has the most benefit for enhancing the concentrations of •OH and H2O2 produced by gas-liquid discharge. Adding a shielding conical tube slows down the decrease extent of •OH and H2O2 productions caused by increasing discharge gap. When the discharge gasp excesses 6 mm, adding a shielding conical quartz also has an obvious enhanced effect on the production of •OH and H2O2 in compared with no shielding case. While adding a shielding straight tube with small diameter has a little effect on H2O2 production, even a negative effect on •OH production.