The PICASSO experiment searches WIMPs via their spin-dependent interactions with nuclei. At their operating temperatures, PICASSO threshold detectors are not sensitive to γ-rays, while it is necessary to suppress neutron and α-ray backgrounds. The different types of neutron shielding (water, polyethylene, borated water and polyethylene doped with different compounds of boron and lithium) were studied via the Monte Carlo method using MCNPX code. Efficiencies of these different types of neutron shielding were compared from the point of view of neutron suppression as well as number of newly born y-rays. The neutrons and γ-rays were followed up to the PICASSO detector active material. The most suitable neutron shielding for the PICASSO experiment was determined following these simulations.