We focused on the electromagnetic interference shielding effectiveness of multi-layer thin films, which were composed of Cu and NiFe, fabricated by direct current magnetron sputtering. Crystal structures and microstructures of the multi-layer thin films were confirmed through X-ray diffraction and field emission transmittance electron microscopy. In addition, the magnetic properties of the multi-layer thin films and pure NiFe thin films were measured by using a vibration sample magnetometer and vector network analyzer. To improve the electromagnetic interference shielding effectiveness at high frequencies, we selected Cu and NiFe because of their excellent conductive properties and high permeability. The shielding effectiveness of different types of thin films (Cu, NiFe, NiFe/Cu) with 4 mu m thickness was measured from 0.7 GHz to 10 GHz, and the shielding effectiveness of the multi-layer thin films was found to be more efficient than that of Cu and NiFe thin films over the entire high frequency range. In the case of the 4 mu m NiFe/Cu multi-layer thin films, an improvement in the shielding effectiveness is attributed to multiple reflections at the NiFe/Cu interfaces of the multi-layer thin films.