Ag nanoparticles were in-situ grown on the surface of MXene nanosheets to prepare thermally conductive hetero-structured MXene@Ag fillers. With polyvinyl alcohol (PVA) as the polymer matrix, thermally conductive MXene@Ag/PVA composite films were fabricated by the processes of solution blending, pouring, and evaporative self-assembly. With the same mass fraction, MXene@Ag-III (MXene/Ag, 2:1, w/w) presents more significant improvement in thermal conductivity coefficient (λ) than MXene@Ag, single MXene, Ag, and simply blending MXene/Ag. MXene@Ag-III/PVA composite films show dual functions of excellent thermal conductivity and electromagnetic interference (EMI) shielding. When the mass fraction of MXene@Ag-III is 60 wt.%, the in-plane λ (λ_∥), through-plane λ (λ_⊥), and EMI shielding effectiveness (EMI SE) are 3.72 and 0.41 W/(m∙K), and 32 dB, which are increased by 3.1, 1.3, and 105.7 times than those of pure PVA film (0.91 and 0.18 W/(m∙K), and 0.3 dB), respectively. The 60 wt.% MXene@Ag-III/PVA composite film also has satisfying mechanical and thermal properties, with Young’s modulus, glass transition temperature, and heat resistance index of 3.8 GPa, 58.5 and 175.3 °C, respectively.