With the rapid development of modern electronic devices, materials having high thermal conductivities (TCs) both in in-plane and through-plane directions are specially needed for thermal management. Whereas, the construction of efficient thermal-conductive pathways in bi-directions is still a challenge. Herein, a facile gel-drying approach is developed, achieving the formation of bi-directional pathways with the assistance of a dual-network structure. During the process, cellulose nanocrystal (CNC) with a high intrinsic TC was mixed with gellable cellulose (CNF) to form CNF/2CNC dispersion which was then used as a matrix. Reduced graphene oxide (RGO) foam with a network structure was used as a filler. The RGO network was tightly wrapped by the formed CNF/2CNC cross-linking network, resulting in a hydrogel with a dual-network structure. After drying, the resultant RGO-foam-CNF/2CNC film not only has a long-range orientation path in the horizontal direction, but also maintained a connected path in the vertical direction. The resultant film with 18.5 wt% RGO exhibited high TCs of 14.06 W·m−1·K−1 and 2.47 W·m−1·K−1 simultaneous for in-plane and through-plane directions, which is 21.6 times and 9.88 times higher than those of a typical CNF film, respectively. This strategy offers a new avenue for the designs of soft, cuttable, environmentally friendly polymer composite films with high TCs in bi-directions.