The rapid development of electronic devices in various fields has stimulated an increased demand for electromagnetic interference (EMI) shielding materials working in ultra‐wideband frequencies of gigahertz. However, the aggregation problem and single attenuation mechanism severely limit the broadband shielding applications of nanomaterials. To address these challenges, a novel composite of parallel expanded graphite (EG) embedded in the densified Fe3O4 matrix is designed and successfully synthesized through the in situ chemical coprecipitation followed by pressure sintering. This unique structure creates heterogeneous interfaces by combining the conductive EG and magnetic Fe3O4. The significant dielectric and magnetic loss then arise from conduction and polarization loss, as well as the eddy current and resonance effects. The multiple reflections of electromagnetic waves between the oriented EG sheets further cause the “absorb–reflect–reabsorb” effect that prolongs the propagation paths and enhances the dissipation of electromagnetic waves. Based on these multiple mechanisms over an ultrawide range of frequencies (8.2–40 GHz), the EG/Fe3O4 composites exhibit exceptional EMI shielding performance, with an average shielding effectiveness of 29.3 dB, indicating the potential for multifunctional EMI shielding applications.