Flexible, lightweight, robust, and multifunctional characteristics are greatly desirable for next-generation wearable electromagnetic interference (EMI) shielding materials. In this work, an alternating multilayered structure with robust polymer frame layers and directly contacted conducting layers was designed to prepare high-performance EMI films. Especially, the multilayered films containing alternating cellulose nanofiber (CNF) layers and MXene layers are fabricated via a facile and efficient alternating vacuum filtration approach. Deriving from the mechanical frame effect acted by CNF layers in, which is capable of preventing the nanosized "zigzag" crack in MXene layers from growing to the whole film, the alternating multilayered film (CNF@MXene) revealed the improved mechanical strength (112.5 MPa) and toughness (2.7 MJ m-3) compared to both freestanding MXene film and homogeneous CNF/MXene film. Meanwhile, the directly contacted MXene layers resulted in the increased electrical conductivity from 2 (homogeneous CNF/MXene film) to 621-82 S m-1 (CNF@MXene films). In conjunction with the extra "reflection-absorption-zigzag reflection" mechanism among the alternating multilayers, CNF@MXene films demonstrated an exceptional EMI shielding effectiveness of ∼40 dB in the X-band and K-band and high specific shielding effectiveness up to 7029 dB cm2 g-1 at a thickness of only 0.035 mm. Besides, the excellent mechanical flexibility ensured the stable EMI shielding and electrical properties, which can withstand the folding test more than 1000 times without obvious reduction. Moreover, the excellent electrical conductivity endows the alternating multilayered film with an outstanding and steady Joule heating performance, which could reach more than 100 °C at only 6 V impressed voltage to within 10 s. As a result, our alternating multilayered film with reinforced EMI shielding and Joule heating performance is promising in the next-generation intelligent protection devices applying in cold and complex practical environments.