What we should do, is side by side comparisons of IoM and UNSC or Covenant vehicles and weapons and whatnot. See how they stack up!
Don't know about a side by side comparison, but I did a size matchup on the previous page and as Glyphstone pointed out, the difference is an order of magnitude.
I hadn't even considered the difference in scale on the space level . . . I was busy factoring how much faster Covenant ships would be in and out of Warp Space. According the Halowiki, Covenant Cruisers, the mainstays of their fleets range between 300 and 3,000 meters in size. The Covenant heavy hitters like the less than common Assault Carriers can be as big as 5km, and the Supercarriers (of which 2 are mentioned anywhere in the series) are a whopping 29km bow to stern. Destroyers and Frigates make up the bulk of the fleet (maybe as much as 2/3rds) and are smaller than 1km in size.
Compare that to the workhorses of the Imperium of Man, the Lunar Cruiser, 5km long and weighing in at nearly double the tonnage of even the largest Covenant cruisers. Now the Covenant are able to field hundreds of their own cruisers as the backbone of their fleet, but the IoM fields 600 Lunar class cruisers in the Segmentum Obscurus alone. That's on top of the Dictator, Dominator, Tyrant, Cardinal, and Gothic class cruisers which make up nearly as many again! That's twelve hundred ships, each of them larger and better armed than a Covenant Assault Carrier, the largest normal class of vessel in any given Covenant Fleet (serving as flagships). Imperial Heavy Cruisers and Battleships are even bigger, better armed, and outnumber their counterparts in the Covenant Navy, maybe 10 to 1 in any give Segmentum of the Imperium. Perhaps most tellingly of all? Covenant weapons appear to have an engagement range of of a few thousand meters, that's missiles and beam projectors and other plasma weapons. The smallest vessels of an Imperial Battlefleet have gun batteries and lance weapons which measure their effective engagement range at tens of thousands of meters. Covenant craft won't even be able to get a shot off against Imperial Craft until engaging them at what any Imperial Captain would consider 'point blank' range, the range at which they'll be launching apartment building sized artillery shells at ships less than half their size.
The Covenant at full strength can field a few dozen capital class ships and a thousand or so frigate/destroyer/corvette class vessels.
Any given Imperial Sector can deploy hundreds of ships larger than even the largest Covenant carriers and battle cruisers, and while they have fewer escort class vessels, they can boast perhaps 5 to 10 times as many fighter/bomber/assault craft.
The most telling factor? Covenant vessels have a standard engagement range of a few (1-5) kilometers, with an extreme range of 10km or so for the larger vessels. The smallest Imperial vessels measure their effective range in hundreds of thousands of meters. Any covenant vessel would be under the guns of standard imperial cruisers at a range of 5-10 times their own, and even if they reach their standard effective engagement range, will at that point be fighting at what the Imperial Navy considers point-blank range.
If you've ever played Battlefleet Gothic, or are at all familiar with Napoleonic era naval warfare, this is where you never, ever, ever want to be unless you're sure you can shoot first/hardest/fastest because aiming no longer matters. Basically, for the Covenant to engage Imperial Vessels at anything short of extreme long range, they would have to give up their greatest advantage in speed and agility.
On shielding. The regenerative shielding of Covenant craft appears to be far superior to the standard Void Shields on Imperial vessels, at least in terms of absorbing comparable weaponry of their own craft and very capable against UNSC projectile weapons. Void Shields require massively more power drain and are notoriously hard to get back up once depleted.
The difference again is one of scale. Covenant shields are designed to absorb the blast of plasma weapons and beam projectors and torpedos relative to the size of their ships. Void Shields are designed to absorb the terrific impact and energy of 40k Lance batteries, which fire blasts as hot as a star's corona and roughly as large as smaller Covenant escort craft. There is little doubt in my mind as to exactly how effective Covenant shields would be.