With the rapid development of new generations of miniaturized, integrated, and high-power electronic devices, it is particularly important to develop advanced composite materials with efficient thermal management capability and excellent electromagnetic interference (EMI) shielding performance. Herein, an innovative biomass/MXene-derived conductive hybrid scaffold, cellulose nanocrystal (CNC)-konjac glucomannan (KGM)/MXene (CKM), was prepared by freeze-drying and thermal annealing, and then paraffin wax (PW) was encapsulated in CKM using vacuum impregnation method to obtain CNC-KGM/MXene@PW phase change composites (CKMPCCs). The results show that the obtained CKMPCCs possess considerable reusable stabilities, excellent EMI shielding properties, and thermal energy management capacities. Among them, the CKMPCC-6 with 2.3 wt.% MXene exhibits excellent solar-thermal and electro-thermal conversion capabilities. In addition, the EMI shielding effectiveness value is as high as 45.0 dB at 8.2–12.4 GHz and the corresponding melting enthalpy value is 215.7 J/g (relative enthalpy efficiency of 99.9%). In conclusion, the synthesized multifunctional phase change composites provide great potential for integrating outstanding EMI shielding and advanced thermal energy management applications.