Our closest neighbours, the Local Group dwarf spheroidal (dSph) galaxies, are extremely quiescent and dim objects, where thermal and non-thermal diffuse emissions lack, so far, of detection. In order to possibly study the dSph interstellar medium, deep observations are required. They could reveal non-thermal emissions associated with the very-low level of star formation, or to particle dark matter annihilating or decaying in the dSph halo. In this work, we employ radio observations of six dSphs, conducted with the Australia Telescope Compact Array in the frequency band 1.1-3.1 GHz, to test the presence of a diffuse component over typical scales of few arcmin and at an rms sensitivity below 0.05 mJy/beam. We observed the dSph fields with both a compact array and long baselines. Short spacings led to a synthesized beam of about 1 arcmin and were used for the extended emission search. The high-resolution data mapped background sources, which in turn were subtracted in the short-baseline maps, to reduce their confusion limit. We found no significant detection of a diffuse radio continuum component. After a detailed discussion on the modelling of the cosmic-ray (CR) electron distribution and on the dSph magnetic properties, we present bounds on several physical quantities related to the dSphs, such that the total radio flux, the angular shape of the radio emissivity, the equipartition magnetic field, and the injection and equilibrium distributions of CR electrons. Finally, we discuss the connection to far-infrared and X-ray observations.