In order to overcome the various defects caused by the limitations of solid metal as a shielding material, the development of electromagnetic shielding materials with flexibility and excellent mechanical properties is of great significance for the next generation of intelligent electronic devices. Here, the aramid nanofiber/Ti3C2Tx MXene (ANF/MXene) composite films with multilayer structure were successfully prepared through a simple alternate vacuum-assisted filtration (AVAF) process. With the intervention of the ANF layer, the multilayer-structure film exhibits excellent mechanical properties. The ANF2/MXene1 composite film exhibits a tensile strength of 177.7 MPa and a breaking strain of 12.6%. In addition, the ANF5/MXene4 composite film with a thickness of only 30 μm exhibits an electromagnetic interference (EMI) shielding efficiency of 37.5 dB and a high EMI-specific shielding effectiveness value accounting for thickness (SSE/t) of 4718 dB·cm2 g−1. Moreover, the composite film was excellent in heat-insulation performance and in avoiding light-to-heat conversion. No burning sensation was produced on the surface of the film with a thickness of only 100 μm at a high temperature of 130 °C. Furthermore, the surface of the film was only mild when touched under simulated sunlight. Therefore, our multilayer-structure film has potential significance in practical applications such as next-generation smart electronic equipment, communications, and military applications.