To shield against massive electromagnetic pollution and meet increasing demand in portable electronics, the development of flexible, lightweight and high-performance electromagnetic interference (EMI) shielding materials with good environmental friendliness is an urgent but still challenging need. Herein, a creative multi-dimensional and level-by-level assembly strategy is proposed to construct free-standing and sandwich-type nanoheterostructures consisting of flexible cotton-derived carbon fibers (CFs), magnetic and conductive nickel nanoparticles (Ni NPs) and highly conductive and large-surface-area dandelion-like graphene (DLG), via a high-precision combination technology of magnetron sputtering–plasma enhanced chemical vapor deposition. The multiple spatial-scale DLG/Ni NPs/CF composites achieve a remarkable conductivity of 625 S m⁻¹ and an outstanding EMI shielding effectiveness of ∼50.6 dB in the X-band (8.2–12.4 GHz) which can be classified as attenuation levels of “AAAA” for professional use. The dielectric loss from multiple polarizations is principally responsible for the electromagnetic loss of the composites. Besides, the large surface area of heterogeneous interfaces and defects in DLG contribute to enhancing the amount of polarization. In addition, the ultrathin and ultralight composites (d = 0.65 mm, ρ = 113 mg cm⁻³) can be bent, twisted and folded, revealing their excellent processability for commercial uses. More importanly, this novel structural design concept opens up an interesting promising research field of novel next-generation EMI shielding materials.