Jonathan Haslam's Near and Distant Neighbours is a good companion read to The Sword and the Shield — among other virtues, it doesn't focus solely on the KGB, but also examines other critical components of the Soviet intelligence community (most notably, the military intelligence service, GRU.) It's a fairly brisk read, probably right around the 400pp mark.

I'd also recommend Andrew's earlier trio of histories of the KGB, which he wrote with another prominent KGB defector, Oleg Gordievsky. The first volume, KGB: The Inside Story of Its Foreign Operations from Lenin to Gorbachev, was pretty much the definitive history of KGB foreign intelligence until the publication of The Sword and the Shield. The subsequent volumes, Comrade Kryuchkov's Instructions and More Instructions from the Centre, delve more deeply into KGB operations of the late Cold War (post-1975.)

Intelligence history is still a rather nascent discipline, but Andrew is without doubt the foremost authority on Soviet foreign intelligence. His work does focus almost exclusively on the First Chief Directorate, though; for more substantive histories of the KGB as an institution (ie. covering its role as an internal security and secret police service), you have to look elsewhere — Amy Knight's The KGB: Police and Politics in the Soviet Union is a good place to start.