A placed smart object will display in the parent document's color space. Any gamut clipping will be visible at that point.
I suspect this is something else. You say "color shift", but you don't get a general color shift in a conversion from an RGB color space to a CMYK color space. What you get, is gamut clipping in some highly saturated areas that are contained in the RGB space, but out of gamut in the CMYK space. Usually this affects deep blues the most. All in-gamut colors should be unchanged.
Have you checked the PDF output settings? They are separate from Photoshop's color settings. Are you sure you have the right CMYK profile throughout?
This kind of work should normally be done in InDesign. But if you have to do it in Photoshop, I'd convert copies of your RGB files to the required CMYK profile and place those. You can preview the conversion by proofing to the CMYK profile in Photoshop.
If you're viewing the finished PDF in anything other than Acrobat, whatever app you're using may not have full CMYK support.
If you end up with a general color shift it could also be a broken/defective monitor profile.
Can you show a side-by-side screenshot?
I'm really sorry, colour shift was the wrong term. The colours dont "shift" but rather just become flatter and duller, especially the blues.
Could you expand on the smart object point you made, because the real problem is the change doesn't show in photoshop but only shows once I save the file as CYMK and view it outside of photoshop, even if the colour space in CYMK inside photoshop.
Here's a comparison of the image saved as SRGB vs CYMK. The change is subtle but the CYMK version (second image) looks flatter. It almost looks like a very low opacity grey layer has been applied to it, especially the buildings.
This looks normal.
The deep blues are out of CMYK gamut.
The blacks usually lift a bit in CMYK because of what is known as Total Area Coverage - the maximum ink limit. TAC is a very important limit in CMYK, and can't be exceeded. If the paper receives too much ink, you get smearing and drying problems. TAC is built into all CMYK profiles.