Electrodes that combine energy storage with mechanical and photothermal performance are necessary for efficient development and use of flexible energy storage and conversion devices. In this study, the flexible, ultrathin, and multifunctional polypyrrole/cellulose nanofiber composite films were fabricated via a one-step “soak and polymerization” method. The dense sandwich structure and strong interfacial interaction endowed polypyrrole/cellulose nanofiber composite films with excellent flexibility, outstanding mechanical strength, and desired toughness. Interestingly, the polypyrrole/cellulose nanofiber composite film electrodes with quaternary amine functionalized cellulose nanofiber had the highest specific mass capacitance (392.90 F∙g^–1) and specific areal capacitance (3.32 F∙cm^–2) than the electrodes with unmodified and carboxyl functionalized cellulose nanofibers. Further, the polypyrrole/cellulose nanofiber composite films with sandwich structure had excellent photothermal conversion properties. This study demonstrated a feasible and versatile method for preparing of multifunctional composite films, having promising applications in various energy storage fields.