The rapid development of microwave-terahertz frequency band technologies has created an urgent demand for broadband electromagnetic wave absorption materials. In this study, a heterostructured composite comprising mixed-phase 1T/2H-MoSe₂ (002) and WO₃ (200) nanosheets was constructed to realize efficient electromagnetic wave absorption and shielding across both microwave and terahertz frequency bands. In the microwave region, the 1T/2H-MoSe₂/WO₃ absorber exhibits a minimum reflection loss of −66.62 dB at 14.98 GHz with a thickness of 1.77 mm, attributed to slow polarization relaxation induced by multiple interfaces and structural defects. In the terahertz range, the system delivers a dominant shielding effectiveness of 67.3 dB at 1.31 THz with a thickness of 2 mm. This performance arises from the precise alignment of the Fermi level of metallic 1T-MoSe₂ with the conduction band of WO₃ at the interface, enabling rapid electron injection into WO₃ with oxygen vacancies via electrochromism. This process induces the transition from W(VI)–O to W(VI⁻)–O, thereby enhancing both electronic and ionic polarization losses. When incorporated into polyvinyl alcohol (PVA) and fabricated into films, the resulting 500-μm-thick (1T/2H-MoSe₂)/WO₃/PVA composite film achieves a maximum shielding effectiveness of 71.51 dB in the 0.2–1.8 THz frequency range, demonstrating excellent practical applicability.