Along with the integration and miniaturization of modern electronics, electromagnetic radiation and heat accumulation have become the increasingly serious problem. However, it is still greatly challenging to achieve high electromagnetic interference (EMI) shielding effectiveness (SE) and thermal conductivity (TC) simultaneously in polymeric composite films. Herein, flexible and tough nanofibrillated cellulose/Fe3O4&carbon nanotube/Polyethylene oxide (NFC/Fe3O4&CNT/PEO) films featured with alternating multilayered structures were successfully prepared by a facile alternating vacuum-assisted filtration (AVF) method. The conductive CNT/PEO acted as the EMI shielding layer; the polymeric NFC/Fe3O4 played the role as supporting substrate and synergistically enhanced the EMI shielding performance. Thus, alternating multilayered NFC/Fe3O4&CNT/PEO films exhibited the high electrical conductivity of 3.9 × 103 S/m, excellent EMI SE of 30.3 dB, and thermal conductivity of 9.53 W m−1 K−1. In addition, NFC/Fe3O4&CNT/PEO films showed wonderful mechanical properties with a tensile strength of 36.03 MPa, a toughness of 2.98 MJ/m3, and an elongation at break of 19.1%, due to strong hydrogen bonding between NFC and PEO and hierarchical “zigzag” cracks. Interestingly, alternating multilayered structures could highly improve the toughness and ductility of composite films, in contrast to pure NFC. In the actual EMI shielding application measurement, NFC/Fe3O4&CNT/PEO films were proved to effectively block the electromagnetic wave transmission. This effort opens a creative avenue for designing and constructing flexible and tough composite films with both excellent EMI shielding performance and fascinating heat removal ability.