The research and development of electromagnetic shielding materials have been attached great importance because of the serious electromagnetic radiation environments. 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 foams were successfully prepared by carbon dioxide (CO2) foaming method using thermoplastic polyurethane (TPU) as matrix material by the combination of FeCo-alloy-modified carbon nanotube (FeCo@CNT) and MXene fillers. The electromagnetic shielding performance was analyzed by vector network analyzer. Results show that sandwich composite foams possess frequency selective electromagnetic shielding feature, and the frequency at shielding peak moves from 9.2 GHz to 13.0 GHz as the foaming conditions vary. The efficient angel lightweight electromagnetic interference shielding material was realized in foam with a density of 0.76 g/cm3 and an average electromagnetic interference shielding effectiveness of 53.7 dB.