The development of flexible, thin, multifunctional materials represents a strategic advancement for the creation of next-generation wearables that offer both electromagnetic shielding and thermal management. This study introduces the fabrication of a multilayer MXene/polyimide (MXene/PI) composite film, demonstrating significant electromagnetic shielding effectiveness (EMI SE) and photothermal conversion efficiency through a layer-by-layer casting technique. When the MXene content is 29.7 wt%, the alternating multilayer MXene/PI composite film can reach a high EMI SE of 23.3 dB at 0.26 mm thickness, and when the MXene content is 45.7 wt%, the EMI SE can reach a maximum of 40.7 dB, which has a significant advantage over other materials. This superior performance exceed that of alternative materials, owing to the multilayer MXene construction that magnifies electromagnetic wave reflection losses. Furthermore, the film displays a rapid and sensitive photothermal response under laser irradiation, achieving temperatures up to 93°C at a 0.5 W/cm2 density. Impressively, at 0.4 W/cm2, it maintains a stable long-term saturation temperature over 40 cycles, showing its potential in applications such as photothermal sensors, personal heating, and muscle protection.