Multi-Agent Reinforcement Learning (MARL) discovers policies that maximize reward but do not have safety guarantees during the learning and deployment phases. Although shielding with Linear Temporal Logic (LTL) is a promising formal method to ensure safety in single-agent Reinforcement Learning (RL), it results in conservative behaviors when scaling to multi-agent scenarios. Additionally, it poses computational challenges for synthesizing shields in complex multi-agent environments. This work introduces Model-based Dynamic Shielding (MBDS) to support MARL algorithm design. Our algorithm synthesizes distributive shields, which are reactive systems running in parallel with each MARL agent, to monitor and rectify unsafe behaviors. The shields can dynamically split, merge, and recompute based on agents' states. This design enables efficient synthesis of shields to monitor agents in complex environments without coordination overheads. We also propose an algorithm to synthesize shields without prior knowledge of the dynamics model. The proposed algorithm obtains an approximate world model by interacting with the environment during the early stage of exploration, making our MBDS enjoy formal safety guarantees with high probability. We demonstrate in simulations that our framework can surpass existing baselines in terms of safety guarantees and learning performance.