To develop flexible and tough composite materials with out-of-plane aligned thermally conductive pathways, a novel freeze-casting method was developed using dimethyl sulfoxide (DMSO), carbon nanofibers (CFs), slide-ring polymers (SRs), and cross-linkers. Porous composite materials composed of SR and plasma-surface-modified CFs were obtained. Using DMSO, which has a high melting point (19 °C) and high polymer solubility, the SR cross-linking reaction was performed during freeze-casting. The CFs were treated with plasma before composite preparation for better affinity and dispersibility to the composites. The obtained porous composites contained thermally conductive pathways in the out-of-plane direction and exhibited a low Young's modulus (0.14 MPa). The composite with a thermoplastic polyurethane (TPU) elastomer embedded into its pores exhibited a low Young's modulus (3.62 MPa), high toughness (10.0 MJ/m3), and high thermal conductivity in the out-of-plane direction (0.57 W/mK). The proposed freeze-casting method can be applied for the fabrication of various polymers and fillers and is promising for the development of flexible porous composite elastomers with out-of-plane aligned thermally conductive pathways.