Unfortunately, not. The Safety Goggles can prevent damage from residual weather like sand and hail, the Air Balloon gives the added bonus of immunity to Spikes, Toxic Spikes, and Sticky Web if it hasn't been broken while switching in, and the closest you'll get to status immunity is using a Lum Berry to cure the status or by being paired with a Pokemon that can prevent status effects (e.g. Leaf Guard in the sun)
If Magic Guard was available as an item in some way, I'd imagine it would be wildly more popular since immunity to indirect damage is really good. I'd imagine it'd shore up Shedinja's problem of being hazzard/status bait, too.