Strong, lightweight, and shape‐memory cellulose aerogels have great potential in multifunctional applications. However, achieving the integration of these features into a cellulose aerogel without harsh chemical modifications and the addition of mechanical enhancers remains challenging. In this study, a strong, lightweight, and water‐stimulated shape‐memory all‐cellulose aerogel (ACA) is created using a combination strategy of partial dissolution and unidirectional freezing from bamboo. Benefiting from the firm architecture of cellulose microfibers bridging cellulose nanofibers /regenerated cellulose aggregated layers and the bonding of different cellulose crystal components (cellulose Iβ and cellulose II), the ACA, with low density (60.74 mg cm−3), possesses high compressive modulus (radial section: 1.2 MPa, axial section: 0.96 MPa). Additionally, when stimulated with water, the ACA exhibits excellent shape‐memory features, including highly reversible compression‐resilience and instantaneous fold‐expansion behaviors. As a versatile scaffold, ACA can be integrated with hydroxyapatite, carboxyl carbon nanotubes, and LiCl, respectively, via a simple impregnation method to yield functionalized cellulose composites for applications in thermal insulation, electromagnetic interference shielding, and piezoresistive sensors. This study provides inspiration and a reliable strategy for the elaborately structural design of functional cellulose aerogels endows application prospects in various multifunction opportunities.