Incorporating outstanding flame retardancy and electromagnetic interference shielding effectiveness (EMI SE) into polymers is a pressing requirement for practical utilization. In this study, we first employed the principles of microencapsulation and electrostatic interaction-driven self-assembly to encapsulate polyethyleneimine (PEI) molecules and Ti3C2Tx nanosheets on the surface of ammonium polyphosphate (APP), forming a double-layer-encapsulated structure of ammonium polyphosphate (APP@PEI@Ti3C2Tx). Subsequently, flame-retardant thermoplastic polyurethane (TPU) composites were fabricated by melting the flame-retardant agent with TPU. Afterwards, by using air-assisted thermocompression technology, we combined a reduced graphene oxide (rGO) film with flame-retardant TPU composites to fabricate hierarchical TPU/APP@PEI@Ti3C2Tx/rGO composites. We systematically studied the combustion behavior, flame retardancy, and smoke-suppression performance of these composite materials, as well as the flame-retardant mechanism of the expansion system. The results indicated a significant improvement in the interface interaction between APP@PEI@Ti3C2Tx and the TPU matrix. Compared to pure TPU, the TPU/10APP@PEI@1TC composite exhibited reductions of 84.1%, 43.2%, 62.4%, and 85.2% in peak heat release rate, total heat release, total smoke release, and total carbon dioxide yield, respectively. The averaged EMI SE of hierarchical TPU/5APP@PEI@1TC/rGO also reached 15.53 dB in the X-band.