Yes. That's why it's used as a shielding material around some radiotherapy machines. It's light. You can shield with it better than with lead. It self-shields because you get gamma rays from the middle of the uranium. They never get to the edge of the uranium because it's shielding itself. You only get gamma rays coming out from the edges of the depleted uranium. So you don't get very high doses.
On February 26th, 2013. See this statement in context.