Critics praised the suspenseful atmosphere in her next film, Escape (1940), where she played the lover of a Nazi general who helps an American free his mother from a concentration camp. With increasing interest in the war in Europe, the film performed well at the box office, but Shearer passed up roles in highly successful films Now, Voyager and Mrs. Miniver, to star in We Were Dancing and Her Cardboard Lover (1942), which both failed at the box office. In 1942, Shearer unofficially retired from acting.
Following her retirement in 1942, she married Martin Arrougé (March 23, 1914 – August 8, 1999), a former ski instructor 11 years her junior. Despite often attending public events in her later life, Shearer gradually withdrew from the Hollywood social scene. In 1960, her secretary stated: "Miss Shearer does not want any publicity. She doesn't talk to anyone. But I can tell you that she has refused many requests to appear in motion pictures and TV shows." Arrougé and Shearer remained married until her death.
Shearer's fame declined after her retirement in 1942. She was rediscovered in the late 1950s, when her films were sold to television, and in the 1970s, when her films enjoyed theatrical revivals. By the time of her death in 1983, she was best known for her "noble" roles in Marie Antoinette and The Women.