With the rapid advance of electronics, the light, flexible, and multifunctional composite films with high electromagnetic interference (EMI) shielding effectiveness and excellent thermal management are highly desirable for next‐generation portable and wearable electronic devices. Herein, a series of flexible and ultrathin natural rubber/MXene/carbon nanotubes (NR/MXene/CNTs) composite films with sandwich structure are constructed layer by layer through a facile vacuum‐assisted filtration method for EMI shielding and Joule heating application. The fabricated NR/MXene/CNTs‐50 composite film, with NR/MXene as inner layer and NR/CNTs as out layers, not only has high EMI shielding efficiency, but also has excellent comprehensive mechanical properties at the thickness of only 200 µm. In addition, the superior environmental durability, high electrothermal conversion efficiency, hydrophobicity, and fine performance stability after periodic cyclic bending make the film possess more value in practical application. In this work, a multilayer natural rubber/MXene/carbon nanotubes (NR/MXene/CNTs) composite film is assembled with sandwich structure layer by layer through vacuum assisted filtration method. The NR/MXene layer is encapsulated inside the composite film by the outer NR/CNTs layers, which not only ensures the film's excellent electromagnetic interference (EMI) shielding performance, but also makes it has superior mechanical properties and stability in humid environment.