Ethylene–propylene–diene monomer (EPDM) composites were usually enhanced with ablative additives to protect solid rocket motor (SRMs) casings. However, the poor thermal insulation caused by the high thermal conductive ablative fillers can lead to rocket motor failure. Herein, the novel EPDM composites containing alternating layers of ablative EPDM (AM) and heat-insulated EPDM (HM) were prepared through layer-multiplying extrusion. Compared with conventional EPDM ablative material, the multilayer composites showed enhanced thermal insulation and mechanical properties that could be further improved by tuning the number of layers. The ablation and thermal insulation properties possessing in AM and HM layers could be combined by forced assembly during co-extrusion, and the alternating multilayer composite was capable of showing the effect of each component. In particular, compared with AM, the maximum back-face temperature with 40 alternating layers of AM/HM decreased from 96.2 °C to 75.6 °C during oxyacetylene test, while the good ablation properties were preserved in the AM component. This significant improvement was attributed to the planar orientation and densification of ablative additives, and the interruption of conductive pathways in the through-plane direction of AM/HM alternating laminate. The anisotropic EPDM composites featuring mechanical robustness, good ablative resistance and thermal insulation suggest considerable potential application in the aerospace industry.