The research and development of electromagnetic shielding materials have been attached great importance because of the serious electromagnetic radiation environment. The preparation of electromagnetic shielding materials with low density and high absorbing performance has become a hot topic in current research. In this paper, TPU/FeCo@CNT/MXene sandwich composite foam was successfully prepared by carbon dioxide (CO2) foaming method using thermoplastic polyurethane (TPU) as matrix material by combination of FeCo-alloy-modified carbon nanotube (FeCo@CNT) and MXene fillers. The electromagnetic shielding performance was analyzed by vector network analyzer. Results showed that sandwich composite foams possessed frequency selective electromagnetic shielding feature, and the frequency at shielding peak moved from 9.2 GHz to 13.0 GHz as foaming condition varied. Efficient angel lightweight electromagnetic interference shielding material was realized in foam with density of 0.76 g·cm-3 and an average electromagnetic interference shielding effectiveness of 53.7 dB.