Electromagnetic (EM) functional materials play an increasingly important role in solving EM wave pollution in both modern military and civil fields. Graphene‐based materials are the most promising candidates in the applications of EM wave shielding and absorption owing to their remarkable structures and enhanced EM properties. Designing graphene‐based materials with elaborately controlled microstructures and optimized EM properties can effectively improve EM energy attenuation and conversion. Herein, the study begins with the EM attenuation mechanism, and multiscale design strategies of graphene‐based EM functional materials are outlined, including molecular‐scale, micro/nanoscale structure, macroscale structure, and integration of multiscale assembly design strategies. Applications in the EM wave shielding and absorption fields are reviewed, focusing on the latest advances in graphene‐based assemblies such as films, fabrics, and composites. Finally, the current challenges and future directions in this fast‐growing field are predicted.