The right thing to get the best shielding is to connect it on both sides and normally do it with a resistor and a capacitor in parallel. the high resistance resistors will make it dc free in average and the capacitor allows high frequency currents to flow, so the shield is effective. (The resistor is not really needed on both sides.)
Also you want to connect the shield not do GND but functional earth. The last thing you want to do is provide a path for the EMI into your circuit.
Anyway, normally transmitters are less sensitive to noise than receivers, so if you must decide which side to connected a shield, the side with the transmitter is the one.
As SPI as single ended bus sends and receives on both sides and you go pretty fast for single ended signals. I would opt for both sides.
If you have a spectrum analyser and a coupling clamp with a burst generator, you can measure that a only one side connected shield is just less effective as a both side connected shield. (It must be connected also with functional earth on both sides of course.)
Of course you also can try the way Americans do Ethernet traditionally: not connecting a shield on either side. it's not as effective, but nobody can "forget" the earthing.
Here some basic examples