A connector assembly includes contact modules each having a dielectric frame and contacts held by the dielectric frame. The contacts are arranged along a contact plane within the frame. The dielectric frame includes frame members connected by connecting segments. The frame has windows between the frame members located between adjacent contacts. Holders support corresponding contact modules. The holders are electrically grounded. The holders each have a support wall and tabs that extend outward from the support wall. The contact modules are coupled to the holders such that the tabs are received in the windows to provide shielding within the contact modules. The holders are coupled together such that the contact modules are stacked together with the tabs of at least some of the holders that extend into the contact module held by the adjacent holder and across the contact plane defined by the contact module of the adjacent holder.