In this work, a new type of carbon fiber reinforced polymer (CFRP) composite was fabricated by introducing MXene nanoparticles onto the surface of carbon fibers (CF) via electrophoretic deposition (EPD) followed by thermal annealing. The MXene-reinforced CF/epoxy composites displayed enhanced mechanical properties and electrical conductivity as well as in-situ damage sensing capability. The uniformly deposited MXene nanoparticles contributed to a considerable enhancement of the flexural strength of CFRPs through hydrogen bonding and mechanical interlocking. The thermal annealing treatment reduced the amount of oxygen groups on the surface of MXene nanoparticles and enabled a 66 % increase of the out-of-plane electrical conductivity and a 20 % improvement of the electromagnetic interference (EMI) shielding effectiveness. The exceptional EMI performance of the core-shell hierarchical microstructure can be ascribed to the polarization of the inhomogeneous interfaces, the dipole polarization, and the conductive loss effect as a result of the presence of annealed MXenes on the surface of CFs.