A metal-organic framework (MOF) based on a conjugated organic ligand and a transition-metal ion was designed and used to construct a novel multiwalled carbon nanotube (MWNT)/MOF interphase via hierarchical assembly on the carbon fiber (CF) surface and was compared to various interphases established by MWNT and MOF. An intertwined MWNT and MOF "jujube core" was randomly dispersed on MWNT@CF and MOF@CF surfaces, while interpenetrating structures with the MWNT network and MOF jujube core were simultaneously observed on MWNT/MOF@CF due to coordination bonds and π-π conjugation effects, which were derived from the MWNT template with carboxyl groups and sp2-hybridized domains as well as the secondary growth of MOF to promote self-assembly and the connection of MOF. The transverse fiber bundle test (TFBT) strength and interfacial shear strength (IFSS) of the MWNT/MOF@CF composite were 36.9, 6.1, and 20.8%, 16.3% higher than those of MWNT@CF and MOF@CF composites, which were attributed to the smoothed modulus transition of the stiffening interphase formed by the MWNT/MOF hybrid structure as "armor" to effectively buffer the stress transfer between a carbon fiber and the resin matrix. Compared to MWNT@CF and MOF@CF composites, MWNT/MOF@CF composites had the highest EMI shielding effectiveness, which was attributed to the combined effects of multiple reflections, conductive loss, and interface polarization from the interpenetrating MWNT/MOF hybrid structures, which realized the integration of the structure and function of the carbon fiber composites.