The formation of bare clusters from highly reactive metals can be achieved very effectively by the pickup of atoms into superfluid helium droplets. We report on the experimental observation of electronic shells in small magnesium clusters produced by this method. Mass spectra taken under various ionization conditions show steps and outstanding peaks, as well as pronounced minima. The abundance distribution suggests a transition to full electron delocalization which is complete at about 20 atoms. A so-far-not-reported electron reorganization is observed, leading to a novel shell structure.