Electromagnetic interference (EMI) shielding in high-frequency range, especially the rapidly growing terahertz (THz) frequency range, attracts increasing attention due to the potential application of terahertz in 6G wireless communication, and security inspection. However, traditional conductive EMI films typically achieve high shielding effectiveness through strong reflection, which may cause secondary pollution to other devices. Here, a gradient structure strategy was proposed to construct Ti₃C₂T_x/hydroxypropyl methyl cellulose (HPMC) film, in which the content of Ti₃C₂T_x gradually increases along the thickness direction, resulting in different conductivity of the two surfaces (surface-M and surface-H) for the film. The obtained gradient-film exhibits an EMI shielding efficiency of over 48.5 dB in the THz range (0.2–1.6 THz) at a thickness of 40 μm. Especially, as the THz waves incident from the surface-H to the film, the absorption effectiveness reaches 48.2 dB (average absorbed power loss up to 91.4%), and the reflection effectiveness is only 0.3 dB. In additions, the gradient-film also demonstrates a high absorption rate of 95.5% in the infrared band (2.5–16.7 μm). Moreover, the gradient-film exhibits an excellent tensile stress and Young’s modulus value of 173.1 MPa and 2.8 GPa, respectively. Therefore, the gradient-film proposed in this work, with excellent electromagnetic absorption in both THz and infrared band, provides a promising candidate for the next-generation EMI shielding applications.