With the rapid development of electronic industry, it's pressing to develop multifunctional electromagnetic interference (EMI) shielding materials to ensure the stable operation of electronic devices. Herein, multilayered flexible PEG@PAN/MXene (Ti3C2Tx)/PVDF@SiO2 (PMF) composite film has been constructed from the level of microstructure design via coaxial electrospinning, coating spraying, and uniaxial electrospinning strategies. Benefiting from the effective encapsulation for PEG and high conductivity of MXene coating, PEG@PAN/MXene composite film with MXene coating loading density of 0.70mg cm-2 exhibits high thermal energy storage density of 120.77 J g-1 and great EMI shielding performance (EMI SE of 34.409dB and SSE of 49.086dB cm3 g-1) in X-band (8-12GHz). Therefore, this advanced composite film can not only help electronic devices prevent the influence of electromagnetic pollution in the X-band but also play an important role in electronic device thermal management. Additionally, the deposition of nano PVDF@SiO2 fibers (289±128nm) endowed the PMF composite film with great hydrophobic properties (water contact angle of 126.5°) to ensure the stable working of hydrophilic MXene coating, thereby breaks the limitation of humid application environments. The finding paves a new way for the development of novel multifunctional EMI shielding composite films for electronic devices.