Cellulose nanofiber (CNF) possesses excellent intrinsic properties, and many CNF-based high-performance structural and functional materials have been developed recently. However, the coordination of the mechanical properties and functionality is still a considerable challenge. Here, a CNF-based structural material is developed by a bioinspired gradient structure design using hollow magnetite nanoparticles and the phosphorylation-modified CNF as building blocks, which simultaneously achieves a superior mechanical performance and electromagnetic wave absorption (EMA) ability. Benefiting from the gradient design, the flexural strength of the structural material reached ∼205 MPa. Meanwhile, gradient design improves impedance matching, contributing to the high EMA ability (−59.5 dB) and wide effective absorption width (5.20 GHz). Besides, a low coefficient of thermal expansion and stable storage modulus was demonstrated as the temperature changes. The excellent mechanical, thermal, and EMA performance exhibited great potential for application in stealth equipment and electromagnetic interference protecting electronic packaging materials.