The electromagnetic interference (EMI) shielding effectiveness (SE) of carbon nanotube (CNT) macro-film that is adhered to common cloth to maintain the light weight, silk-like quality, and smooth surface of the material for EMI shielding is investigated. The results show that a high and stable EMI SE of 48 dB to 57 dB at 40 GHz to 60 GHz was obtained by the macro-film with a thickness of only ∼4 μm. The composite CNT macro-film is easily manipulated, and its EMI property is significantly different from that of traditional electromagnetic shielding materials that show a lower EMI SE with increasing frequency. For example, the EMI SE of Cu foils decrease from 75 dB to 35 dB as frequency increases from 25 GHz to 60 GHz. Considering their stable and outstanding EMI SE and easy manipulation, the composite CNT macro-films are expected to have potential applications in shielding against millimeter waves.