The development of flexible multifunctional composite films that simultaneously combine high electromagnetic interference (EMI) shielding and effective thermal management is urgently needed, yet it remains an extremely challenging task to meet the increasingly complex service requirements of integrated electronic devices, especially in the field of flexible wearable electronic products. Herein, a novel flexible composite film consisting of cellulose nanofibers/Fe3O4, cellulose nanofiber/liquid metal, and cellulose nanofibers/graphene nanoplatelets (CNF/Fe3O4&CNF/LM&CNF/GNPs) with a hierarchical gradient structure was fabricated using a vacuum filtration and cool-pressing technique. Benefitting from its unique hierarchical gradient structure design, the CNF composite film exhibits high electrical conductivity of 22.42 S cm(-1), excellent EMI shielding effectiveness of 36.21 dB (with a thickness of only 0.18 mm), outstanding in-plane thermally conductivity of 8.98 W (m K)(-1), and a fast electric-heating response. Furthermore, the CNF composite film also displays exceptional mechanical properties, with a strong tensile strength of 55.26 MPa and a toughness of 2.72 MJ m(-3), due to the good deformability of LM and the formation of a "zigzag" crack path. This strategy holds promise for the manufacture of dual-function flexible composite films that exhibit excellent thermal conductivity and EMI shielding performance, with potential applications in portable electronic devices, artificial intelligence, communication equipment, and other relevant fields.