Electromagnetic pulses (EMPs) with high intensity and frequency bandwidth can be generated during the intensive laser irradiating solid targets in inertial confinement fusion (ICF). To shield the EMPs radiation and hence protect various diagnostics in and outside the target chamber, we designed a multi-layer structure material to shield the EMPs and demonstrate experimentally and numerically shielding performance of the material structure. The thickness of the multi-layer structure material has a great influence on the EMPs shielding. It is shown that, with the increase of the material thickness, the better shielding performance is obtained, and the material structure with polytetrafluoroethylene of 0.5 mm, copper of 0.4 mm and lead of 2.4 mm reduces 448 times compared the maximum value of EMPs voltage to that without shielded. The design of multilayer structure material for EMPs shielding provides a promising way to reduce EMPs radiation, which is extremely useful for the diagnostics protection and signal processing in ICF.