Composites with thermal management (TM) capability and electromagnetic interference (EMI) shielding effect are in high demand for miniaturization and modernization of electronics. However, achieving both of these properties simultaneously by constructing a dense conductive network within the polymer matrix is a very big challenge. Herein, a fully scalable and sustainable production process for polyamide-6/few layer graphene (PA-6/FLG) with vigorous dispersion of FLG in the PA-6 matrix was demonstrated by combining mechanochemistry with supercritical CO2 (scCO2) technology. By this process, the bulk graphite was rapidly cleaved into a FLG (≈10 layers), which was completely coated onto the spherical PA-6 particles. The composite films of this coated powder with only 3 wt% FLG loading amount attained wonderful in-plane electrical conductivity (IP-σc) and through-plane electrical conductivity (TP-σc) of 4.59 S·m−1 and 29.59 S·m−1, respectively, and outstanding EMI shielding effect of 41.8 dBs. In addition, the in-plane thermal conductivity (IP- kc) and the through-plane thermal conductivity (TP- kc) were 1.78 W m−1 K−1 and 2.14 W m−1 K−1 respectively. Therefore, the films rapidly dissipate heat from an electronic LED chip. Moreover, PA-6/FLG composite filaments showed a smooth appearance and an electrical resistivity of 7.12 GΩ. This work has strong potential to improve the performance of different polymer/graphene composites and expand their applications.