A pressure relief valve for use in connection with a high pressure fluid system comprising: a valve body extending along a longitudinal axis and defining a valve chamber, said valve body having a proximal end and a distal end longitudinally opposite said proximal end, said distal end having at least one vent hole opening through said distal end and providing a fluid flow passage for venting high pressure fluid from the valve chamber to an environment exterior of the valve body in a direction generally transverse to the longitudinal axis; and a protective cap mounted to said distal end, said protective cap having a skirt flange disposed in spaced relationship to said distal end and defining a surface juxtaposed opposite the at least one vent hole for deflecting high pressure fluid venting from the valve chamber through the at least one vent hole away from an outwardly directed path generally transverse to the longitudinal axis of the valve body; wherein said protective cap comprises a cylindrical cap body secured to said distal end of the valve body, the cap body having a closed base end and an open end, said skirt flange extending circumferentially about the open end of the cap body; wherein the open distal end of the valve body is provided with internal threads; a set screw being provided with external threads, the set screw being threaded into the open distal end of the valve body; and characterized in that the inner circumferential surface of the protective cap is juxtaposed radially outboard of and in spaced relationship with the outer circumferential surface of the tip portion of the distal end of the valve body thereby forming a gap therebetween; a circumferential seal member is disposed between the inner circumferential surface of the cap body and the outer circumferential surface of said distal end of the valve body; the closed base end of the cap body has a threaded recess formed in the inside face of the protective cap facing the open distal end of the valve body; the threaded recess of the protective cap being threaded onto the external threads of the set screw, or said closed base end of the cap body has a threaded head formed on and extending axially outwardly from the inside face of the protective cap facing the open distal end of the valve body, said threaded head of the protective cap being threaded into the interiorly threaded set screw. a valve body extending along a longitudinal axis and defining a valve chamber, said valve body having a proximal end and a distal end longitudinally opposite said proximal end, said distal end having at least one vent hole opening through said distal end and providing a fluid flow passage for venting high pressure fluid from the valve chamber to an environment exterior of the valve body in a direction generally transverse to the longitudinal axis; and a protective cap mounted to said distal end, said protective cap having a skirt flange disposed in spaced relationship to said distal end and defining a surface juxtaposed opposite the at least one vent hole for deflecting high pressure fluid venting from the valve chamber through the at least one vent hole away from an outwardly directed path generally transverse to the longitudinal axis of the valve body; wherein said protective cap comprises a cylindrical cap body secured to said distal end of the valve body, the cap body having a closed base end and an open end, said skirt flange extending circumferentially about the open end of the cap body; wherein the open distal end of the valve body is provided with internal threads; a set screw being provided with external threads, the set screw being threaded into the open distal end of the valve body; and characterized in that the inner circumferential surface of the protective cap is juxtaposed radially outboard of and in spaced relationship with the outer circumferential surface of the tip portion of the distal end of the valve body thereby forming a gap therebetween; a circumferential seal member is disposed between the inner circumferential surface of the cap body and the outer circumferential surface of said distal end of the valve body; the closed base end of the cap body has a threaded recess formed in the inside face of the protective cap facing the open distal end of the valve body; the threaded recess of the protective cap being threaded onto the external threads of the set screw, or said closed base end of the cap body has a threaded head formed on and extending axially outwardly from the inside face of the protective cap facing the open distal end of the valve body, said threaded head of the protective cap being threaded into the interiorly threaded set screw.