CNTs, with high electrical conductivity, are considered as an excellent electromagnetic (EM) attenuation material, and have attracted the attention of countless researchers for a long time. However, there is a daunting challenge to obtain both microwave absorbing and electromagnetic interference (EMI) shielding functions in a same material. Herein, by constructing WSe2@CNTs heterojunction, excellent microwave absorbing and EMI shielding is obtained, which is attributed to the tunable dielectric properties. The WSe2@CNTs composite shows high reflection loss (RL) of −61.6 dB, broad effective absorption bandwidth (EAB) of 4.56 GHz, and efficient EMI shielding. More importantly, high green shielding index (>1) is found in the Ku band. This result confirms the WSe2@CNTs composite as a suitable candidate for EM bifunctional materials. Meanwhile, this strategy of constructing heterojunction provides a valuable guide for designing novel EM attenuation materials in the future.