With the increasing prevalence of electronic devices, there is a pressing need for composite films that offer both efficient thermal management and superior electromagnetic interference (EMI) shielding. To address this, we developed a novel composite film featuring a controllable conductive-magnetic dual-gradient structure, composed of cellulose nanofibers (CNF), MXene, silver nanowires (AgNWs), and hollow ferric oxide (Fe3O4). This film was fabricated using a straightforward, cost-effective layer-by-layer vacuum filtration method. Leveraging CNF as the matrix material endows the film with remarkable flexibility. The integration of 2D MXene, 1D AgNWs, and 0D hollow Fe3O4 significantly enhances the film's thermal conductivity through multidimensional particle interactions, achieving a maximum value of 2.92 W/mK. Additionally, the dual-gradient structure of the film-comprising a transition layer and a reflection layer-improves EMI shielding efficiency by balancing high EMI shielding effectiveness with low electromagnetic wave reflection. Specifically, for the dual-gradient configuration (MAF)-25-CNF, the absorption coefficient (A) of electromagnetic waves incident on the low conductivity side reaches 0.23, and the shielding effectiveness reaches 45.8 dB. These findings highlight the potential of MXene/AgNWs/Fe3O4/CNF composite films with a controllable conductive-magnetic dual-gradient structure for applications in electronics, electrical engineering, and wearable technologies.