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Epoxy composites with different amounts of magnetite nanoparticles, carbon nanofibres (CNF) and magnetite-decorated CNF were prepared and characterized. A simple method for the magnetite CNF decoration was developed by adsorbing preformed oleic acid capped-magnetite nanoparticles over the CNF surface. A synergy between magnetite nanoparticles and CNF was found to have crucial effects in the electromagnetic shielding efficiency of the prepared materials. This effect has been analysed by their electrical conductivity in terms of percolation theory and complex permittivity at high frequencies. Electromagnetic shielding mechanisms (reflection, absorption and transmission) were individually studied in the 1-18 GHz range. Results show that decoration of CNF with magnetite, notably increases permittivity and high-frequency AC conductivity and enhances the electromagnetic shielding efficiency up to around 20 dB at high frequencies. It is proposed that interfacial polarization adds an additional dissipation mechanism that may be responsible for the observed electromagnetic shielding enhancement.