Carbon fiber (CF) composites performance enhancement is a research hotspot at present. In this work, first, a sandwich structure composite, CF@(carbon nanotube/Fe3O4)/epoxy (CF@(CNT/Fe3O4)/EP), is prepared by the free arc dispersion-CFs surface spraying-rolling process method, herein, CFs in the middle layer and (CNT/Fe3O4)/EP as top and substrate layer. Then, CF@(CNT/Fe3O4)/EP (on both sides) and CFs (in the middle) are overlapped by structure design, forming a multilayer CF@(CNT/Fe3O4)/EP-CFs composite with a CFs core sheath. A small amount of CNT/Fe3O4 is consumed, (CNT/Fe3O4)/EP and CFs core sheath realize thermal and electrical anisotropy and directional enhancement, and multilayer sandwich structure makes the electromagnetic interference (EMI) shielding performance better strengthened by multiple absorption–reflection/penetration–reabsorption. From CF-0 to CF-8, CNT/Fe3O4 content only increases by 0.045 wt%, axial thermal conductivity (λ‖) increases from 0.59 W/(m·K) to 1.1 W/(m·K), growth rate is 86%, radial thermal conductivity (λ⊥) only increases by 0.05 W/(m·K), the maximum λ‖/λ⊥ is 2.9, axial electrical conductivity (σ‖) increases from 6.2 S/cm to 7.7 S/cm, growth rate is 24%, radial electrical conductivity (σ⊥) only increases by 0.7 × 10−4 S/cm, the total EMI shielding effectiveness (EMI SET) increases by 196%, from 10.3 dB to 30.5 dB. This provides a new idea for enhancing CFs composite properties.