The demand for electromagnetic interference (EMI) shielding materials has become increasingly urgent due to the widespread application of electronic communication and devices. Herein, anisotropic composite polyimide aerogels (CPIAs) were prepared via unidirectional freeze-drying method using PI as the polymer matrix and MWCNTs as the filler. These CPIAs demonstrated excellent shielding behavior with an average shielding effectiveness value of 84.2 dB (CPIA-4) in the X-band. Owing to its anisotropic microstructure, an idealized model for determining the attenuation constant was proposed. The CPIA also works effectively as a lightweight sensitive strain sensor (gauge factor of 1.23 and stability cyclic testing over 1000 cycles). Remarkably, the CPIAs maintained stable response performance across a wide temperature range (25, 177, and 316 °C) and good performance when assembled into a strain alarm system, indicating promising potential for applications in harsh environments such as arc-shaped structure radar patch shielding materials or landing protection devices for aerobats.