Film materials exhibit excellent potential for intelligent wearable devices and flexible electronic components owing to their being lightweight, thin, and flexible. However, their application faces several challenges such as their poor mechanical and self-healing properties. Herein, a composite film comprising poly(vinyl alcohol) (PVA) as the matrix, a gallium-based liquid metal, and conductive magnetic nickel was fabricated. The film exhibits high conductivity, tensile strength, and self-healing ability as well as good electromagnetic interference (EMI) shielding performance. The excellent flexibility and overall EMI shielding performance of the PVA-based composite film are attributed to the introduction of liquid metals, containing abundant hydrogen bonding sites. This PVA-based composite film exhibits excellent mechanical characteristics (stress 28 MPa, strain 180%) owing to its superb flexibility. The composite film also has self-healing ability, allowing it to continue working after self-healing. In addition, the PVA-based composite film exhibits good EMI shielding performance through multiple loss mechanisms. The film (thickness 0.4 mm) exhibits an overall shielding performance of up to 26 dB in the X-band (8.2−12.4 GHz). The average total shielding effectiveness of the pure PVA film increased from 0.4 to 24.7 dB (a 6075% increase) after the introduction of nickel and liquid metals. This multifunctional magnetic composite film has excellent potential for intelligent wearable devices, flexible electronic components, and strain sensors.