The structural design strategies of MXene-based nanocomposites have demonstrated critical significance for electromagnetic interference (EMI) shielding applications. Herein, novel asymmetric multilayered cellulose nanofiber/multiwalled carbon nanotube@ferroferric oxide/MXene (CNF/MWCNT@Fe3O4/MXene) composite membranes with electrical-magnetic dual-gradient structures were prepared via layered-by-layered self-assembly strategy. Briefly, CNF/MWCNT@Fe3O4 layers are designed as the negative gradient absorption layers which provide dielectric/magnetic double loss. Meanwhile, MXene layers serve as the positive gradient reflection layers which generate multiple reflections and conduct loss. Thus, gradient multilayered CNF/MWCNT@Fe3O4/MXene composite membranes exhibit a total electromagnetic interference shielding effectiveness (EMI SET) of 73.20 dB at the thickness of 180 μm and R-value of 0.99934 in the X-band. Furthermore, the asymmetric gradient multilayer composite membrane reveals a superior EMI shielding performance in comparison with that of homogeneous multilayered composite membranes. When electromagnetic waves (EMWs) pass through the gradient multilayered CNF/MWCNT@Fe3O4/MXene composite membrane, the rational asymmetric gradient multilayered structures contribute to a “gradually decreasing absorption-gradually increasing reflection” shielding mechanism. Thereby, the design strategy of asymmetric electrical-magnetic dual-gradient structures is advantageous in enhancing the EMI shielding ability of polymeric composites.