The proliferation of high-power, highly informationized, and highly integrated electronic devices and weapons equipment has given rise to increasingly conspicuous issues about electromagnetic (EM) pollution and thermal accumulation. These issues, in turn, impose constraints on the performance of such equipment and jeopardize personnel safety. Carbon materials, owing to their diverse and modifiable structures, offer adjustable thermal and electric conductivity, rendering them highly promising for applications in fields such as thermal management and EM protection which have garnered extensive research and review. The pursuit of integrated device and equipment development has elevated the demand for multifunctional materials, prompting significant research into carbon-based composite materials that include both thermal management and EM protection functionalities. Notably, there are no relevant reviews on this topic at present. Consequently, this work consolidates research findings from recent years on carbon matrix composites exhibiting dual attributes of thermal management and EM protection. These attributes include thermally conductive electromagnetic interference (EMI) shielding materials, thermally insulating EMI shielding materials, thermally conductive EM wave (EMW) absorbing materials, and thermally insulating EMW absorbing materials. The paper elucidates the fundamental principles underpinning thermal conduction, thermal insulation, EMW absorbing, and EMI shielding. Additionally, it engages in discussions surrounding areas of contention, design strategies, and the functional properties of various material designs. Ultimately, the paper concludes by presenting the challenges encountered and potential research strategies about composites endowed with both thermal management and EM protection functionalities, while also envisaging the development of novel multifunctional EM protection materials.