High-performance films via layer-by-layer assembly of two-dimensional (2D) materials would provide all possibilities for the development of modern integrated electronics. However, the stacked structure between nanosheets and large-scale fabrication still remain a great challenge. Herein, the Fe3O4/expanded graphite (EG) papers are fabricated via in situ oxidation of ferrocene onto EG nanosheets, followed by a continuous roll-in process. Upon mechanical compaction, the self-interlocked structures driven by close overlapping and hooking of nanosheets in Fe3O4/EG (FG) composites remarkably facilitate the construction of phonon and electron transmission channels and improve mechanical strength. FG papers exhibit prominent shielding effectiveness (67.1 dB at ~100 μm) with enhanced absorptivity (~0.1, surpassing lots of conductive film materials), stemming from the synergistic effect of electrical and magnetic properties. Also, the electromagnetic interference (EMI) shielding performance shows prominent reliability after bending (2000 cycles) and ultrasonic treatment (30 min). The corresponding tensile strength reaches 35.8 MPa; meanwhile, the corresponding in-plane thermal conductivity coefficient is as high as 191.7 W/(m·K), which can rapidly and efficiently accelerate heat dissipation. In particular, FG papers also reveal rapid-response, controllable and highly stable Joule heating performance, and present promising prospects in the fields of radiation-proof clothing, flexible heaters, portable wearable devices, and aerospace.