With the widespread application of communication equipment with electromagnetic signal transmission to cause electromagnetic radiation pollution, there is an urgent need for high-performance electromagnetic shielding materials. Here, an ultrathin, flexible, alternating multilayered, and conductive gradient-structured cellulose nanofiber–MXene/silver nanowire (CNF-MXene/AgNW) nanocomposite paper with high mechanical strength, strong electromagnetic interference (EMI) shielding, and outstanding thermal management was constructed via the alternating vacuum filtration (AVF) process. The extensive hydrogen bonding interactions between MXene, CNF, and AgNW enhance the interfacial adhesion and conductive synergy between layers, resulting in excellent tensile strength of 194.3 MPa and fracture strain of 7.62% of nanocomposite paper. The alternating conductive gradient structure of the nanocomposite paper greatly increases the interlayer multiple reflections and absorption of electromagnetic waves, resulting in a high conductivity of 3237.35 S cm−1 and excellent electromagnetic shielding efficiency of 65.4 dB for the nanocomposite paper. Under an external low voltage of 3 V, the surface temperature of the nanocomposite paper reaches 107.2 ℃ within 10 s and can be stable for a long time. These results indicate that CNF-MXene/AgNW nanocomposite paper with a conductive gradient structure has potential applications in the fields of aerospace, communication engineering, and wearable devices.