Laminated composite with multi-layer interfaces has better electromagnetic interference shielding performance, which has attracted great attention. In this work, magnesium matrix laminated structure materials were prepared through Accumulative Roll Bonding (ARB). Microstructure, electrical conductivity and electromagnetic interference (EMI) shielding effectiveness (SE) of ME21/Mg laminated materials were investigated to understand the effect of layered structure and the change of microstructure on the electromagnetic shielding property. The results showed: the precipitated secondary phase and introduced interfaces could provide multiple reflections, attenuate the electromagnetic waves and improve the SE value. The electrical conductivity of 2-cycle increased to 21.04*106S/m,which was 17.74% higher than that of ME21 alloy, the intensity of texture of ME21 layer increased with the rolling passes, which contributed to the improvement of the electrical conductivity as well as the attenuation of reflection. The layered composite exhibited better shielding effectiveness compared with the ME21, in the 8.2-12.4 GHz test frequency, the SE was 98-107dB. The shielding mechanism of layered materials was explained, which provided guiding for the efficient shielding of electromagnetic waves.