With the rapid development of wireless communication technology and electronic devices, the issue of electromagnetic interference (EMI) is becoming increasingly severe. Developing a new and flexible electromagnetic interference shielding material has become a challenging task. Here, a sandwich-structured EMI shielding composite film was prepared using electrospinning and vacuum filtration methods. In this process, a porous MXene was synthesized through a reaction with cobalt acetate and served as the intermediate layer in the composite film to shield electromagnetic waves. The electrospun polyimide (PI) fibers were used as the top and bottom layers of the composite film, which can protect the porous MXene from oxidation. This lightweight and flexible composite film integrates electromagnetic interference shielding and thermal insulation capabilities, showing excellent comprehensive performance. The composite film achieves an EMI shielding effectiveness of 48.8 dB in X-band (8.2–12.4 GHz), and absolute shielding effectiveness of the composite film reached a satisfying 4142.43 (dB·cm²)/g. Owing to the design of a multi-layer porous structure, the density of the composite film is 0.65 g/cm³. Furthermore, the thermal conductivity of the film is 0.042 W/(m·K) due to the clamping of electrospun PI fibers, showing excellent thermal insulation performance. Additionally, the composite film exhibits excellent high and low-temperature resistance. In summary, this work provides a feasible strategy for preparing a lightweight polymer-based EMI shielding film.