Nanocomposites that contain reinforcements with preferred orientation have attracted significant attention because of their promising applications in a wide range of multifunctional fields. Many efforts have recently been focused on developing facile methods for preparing aligned graphene sheets in solvents and polymers because of their fascinating properties including liquid crystallinity and highly anisotropic characteristics. Self-aligned in situ reduced graphene oxide (rGO)/polymer nanocomposites are prepared using an all aqueous casting method. A remarkably low percolation threshold of 0.12 vol% is achieved in the rGO/epoxy system owing to the uniformly dispersed, monolayer graphene sheets with extremely high aspect ratios (>30000). The self-alignment into a layered structure at above a critical filler content induces a unique anisotropy in electrical and mechanical properties due to the preferential formation of conductive and reinforcing networks along the alignment direction. Accompanied by the anisotropic electrical conductivities are exceptionally high dielectric constants of over 14000 with 3 wt% of rGO at 1 kHz due to the charge accumulation at the highly-aligned conductive filler/insulating polymer interface according to the Maxwell-Wagner-Sillars polarization principle. The highly dielectric rGO/epoxy nanocomposites with the engineered structure and properties present high performance electromagnetic interference shielding with a remarkable shilding efficiency of 38 dB.