The intelligent electronic devices have urgent demands for electromagnetic interference (EMI) shielding films with excellent heat dissipation capability. However, it is challenging to obtain excellent EMI shielding and thermal conductivity performances simultaneously. Herein, inspired by mille-feuille structure, the multifunctional EMI shielding films developed by a layer-by-layer self-assembly and hot-pressing strategy. The ingenious introduction of silver nanoparticles (AgNPs) with large specific surface area and highly conductive into the network formed by TEMPO-oxidized cellulose nanofibrils (TOCNFs) with large aspect ratio to form the TOCNFs/AgNPs. And the graphene nanoplates (GNPs) with high conductivity loss distributed alternately with TOCNFs/AgNPs to construct mille-feuille structure, which had highly efficient conductive network, complete thermally conduction pathway and rich heterogeneous interfaces. Consequently, the designed films presented high electrical conductivity of 8520 S/cm, superb EMI effectiveness (SE) of 98.05 dB, and excellent thermal conductivity of 18.82 W/(m·K). Furthermore, the films possessed outstanding Joule heating performances with low voltages, including high heating temperature (100 °C), fast response time (< 20 s), and impressive heating stability and reliability. Thus, such high-performance EMI shielding films with fascinating thermal conductivity and Joule heating performances have substantial application in flexible electronics, electromagnetic waves shielding and thermal management.