It is imperatively desired to design excellent electromagnetic interference (EMI) shielding and thermal management simultaneously. Herein, fabricating the multi-dimensional alternating layer nested (MALN) structure composite film, which consisted of the alternating multilayer structure constructed by silver nanowires (AgNWs)/cellulose nanofiber (CNF) layer and the graphene nanoplates (GNPs)/CNF layer, the dense conducting networks built by interweaving AgNWs in CNF networks, and the “mille-feuille” structure of GNPs and CNF. The heterogeneous layers of AgNWs/CNF layer and GNPs/CNF layer with significant conductivity differences, as well as the “mille-feuille” structure of CNF and GNPs, provide abundant macro/micro heterogeneous interface polarization losses and multiple reflection losses. Adjusting the addition of AgNWs or GNPs in different layers to form the conductivity gradient, endowing the “absorption-reflection–absorption” loss path and excellent conduction loss of film. Therefore, the MALN structure composite film with a thickness of 90 μm exhibits an impressive EMI shielding efficiency (SE) of 98.95 dB and a specific SE (SSE/t) of 11606.14 dB/g·cm−2, attribute to its excellent conduction loss, abundant macroscopic/microcosmic heterogeneous interfacial polarization losses, multiple reflection losses, and the absorption-reflection–absorption loss path. Meanwhile, the in-plane thermal conductivity (λ∥) and out-plane thermal conductivity (λ⊥) achieve of 8.69 W/(m·k) and 0.16 W/(m·k). Additionally, the obtained film also demonstrates exceptional joule heating, remarkable photothermal conversion, outstanding mechanical properties, and distinguished strain sensing capabilities, which exhibiting significant potential in wearable electronic devices.