I have two lists, one containing urls and another, containing all MIME file extensions. I want to remove from the first list all urls that point to such files.
Sampl
If you want to create a new list with only the items matching your condition:
List result = urls.Where(x => !mime.Any(y => x.EndsWith(y))).ToList();
If you want to actually remove items from source, you should use RemoveAll:
RemoveAll
urls.RemoveAll(x => mime.Any(y => x.EndsWith(y)));