Multi-walled carbon nanotube (MWCNT) was adopted to modify the polyetherketoneketone (PEKK) of carbon fiber-reinforced PEKK (CF/PEKK) composites, in order to simultaneously improve the electromagnetic interference (EMI) shielding and mechanical properties. The resultant CF/PEKK composites exhibited excellent both EMI and mechanical behaviors. Concretely, a satisfactory EMI shielding effectiveness of CF/PEKK composites functionalized by MWCNT (MWCNT/PEKK was 10 wt%) achieved 77.7 dB in the X-band, a 142.1% enhancement compared with that of the unmodified CF/PEKK composites. Such improvement in EMI shielding performances could be attributed to enhanced dielectric losses and ohmic losses of electromagnetic waves facilitated by MWCNT. Moreover, MWCNT could further optimize the mechanical properties of CF/PEKK composites via π-π interactions and Van der Waals forces between MWCNT and CF, PEKK, as well as mechanical interlocking between MWCNT and PEKK. The obtained CF/PEKK composites modified by MWCNT (MWCNT/PEKK was 8 wt%) demonstrated that the flexural strength, flexural modulus and interlaminar shear strength reached 1185 MPa, 79 GPa and 88 MPa, which were 31.7%, 6.8% and 22.2% higher than that of the unmodified CF/PEKK composites, respectively.