I mean, you dont really protect yourself on an individual level. Ittl happen or it wolnt, and you dont really have much control over it. Unless you wanna go full on prepper. On a military level, we have missle defence systems that can intercept incoming weapons like Emps or Nukes from hostile parties with a very good sucess rate.
For example, Israel uses a multi tiered system for missle defence, including the widely known Iron Dome, as well as Arrow 2, Arrow 3, Iron Beam, Barak 8 and David's Sling as early as 2018.
So its pretty much we either shoot it down, or it gets through and life kinda sucks for a while.