Lightweight and compressible composite foams consisting of silver fractal dendrites (AgFDs), carbon nanotubes (CNTs) and thermoplastic polyurethane (TPU) are developed through layer-by-layer construction, followed by freeze-drying. The construction of AgFD/TPU layers through depositing AgFD layers followed by low-temperature sintering and incorporating of TPU endows the AgFD/TPU layers with excellent electrical conductivity. Meanwhile, the electrically conductive gradient CNT/TPU layers constructed by layer-by-layer method greatly decrease the reflection of the electromagnetic (EM) waves and prolong the EM wave dissipation paths. The unique low reflection–absorption-high reflection-reabsorption paths of the EM wave dissipation mechanism facilitates the composite foams with thickness of 3.4 mm to obtain an excellent EMI SE of 88.5 dB and an ultra-low SER of 0.29 dB at an extreme low AgFD loading of 0.103 vol%. Additionally, benefitting from direction freezing, the composite foams exhibit good cyclic compression recovery. This work puts forward a new insight for designing and constructing ultra-efficient absorption-dominated EMI shielding materials with electrically conductive gradient layers, and the prepared shielding materials are highly promising for applications in the EMI protection of modern electronic products.