The commonly used materials for shielding or screening magnetism is

This question tests magnetic permeability, which is a measure of how easily a material allows magnetic field lines to pass through it. Magnetic shielding does not work by blocking field lines, because magnetic field lines cannot simply be stopped. It works by offering the field lines a much easier path that carries them around the region you want to protect.

Soft iron has a very high relative permeability, several thousand times that of air. When an instrument is enclosed in a soft iron case, nearly all of the external field lines are pulled into the iron walls and guided around the cavity, leaving the space inside with an extremely weak field. Soft iron rather than steel is used because soft iron has low retentivity: it magnetises strongly while the external field is present, but loses almost all of that magnetism once the field is removed, so the screen itself does not become a permanent magnet that would disturb the instrument.

Aluminium, brass and copper are non-magnetic. Their relative permeability is essentially the same as that of air, so field lines pass straight through them and the enclosed region is not protected. Copper and aluminium do oppose a changing magnetic field through induced eddy currents, which is why they appear in electrical screening, but against a steady magnetic field they provide no shielding. A useful examination link is: magnetic screening requires high permeability with low retentivity, and that combination describes soft iron.