This paper investigates the electromagnetic interference shielding effect and wearing comfort properties of a sandwich material consisting of a surface layer, an electromagnetic interference shielding layer, a thermal insulation layer, and a lining layer. The main aim is to research its potential as a winter jacket’s material for shielding electromagnetic radiation and the relationship between single-layer fabric samples and multi-layer sandwich materials under different properties. Experimentally, it is found that the electromagnetic interference shielding effectiveness of the sandwich materials is only determined by the electromagnetic interference shielding layer fabric sample, the other layers’ fabric samples have no significant impact on the electromagnetic interference shielding effect. In this paper, the air permeability of the sandwich materials is 25 to 50% lower than that of the single-layer fabric samples with the lowest air permeability in their combination. And the water vapor resistance of the sandwich materials is 40 to 60% higher than that of the single-layer fabric samples with the highest water vapor resistance in their combination. The thermal resistances of the sandwich materials measured by the Alambeta are lower than those calculated by the sum of the individual layers’ thermal resistance, which may be caused by the reduction in the internal air of the sandwich materials. Finally, the quality index evaluation is used to select the most suitable sandwich material for the winter jacket against electromagnetic radiation, which achieves the purpose of balancing the electromagnetic interference shielding effect and wearing comfort.