Lightweight and high-performance conductive polymer composites (CPCs) have attracted much attention for electromagnetic interference (EMI) shielding. Herein, the porous structure was constructed in poly(oxymethylene)/multi-wall carbon nanotube (POM/MWCNT) nanocomposites via assisting by poly(l-lactide) (PLLA). First, the POM/PLLA/MWCNT (S-PMLNT) nanocomposites were obtained by melt mixing and compression molding. Second, the nanoporous POM/MWCNT (P-PMNT) nanocomposites were fabricated by selectively dissolving PLLA, solvent exchanging and freeze-drying. Because of well miscible between PLLA and POM, the homogeneous nanopores could be successfully fabricated in the P-PMNT composites by removing the PLLA phase. The multiple reflections and scattering of microwaves happened on the walls of these nanopores, which endowed the P-PMNT nanocomposites having higher EMI shielding effectiveness (SE) in comparison of the S-PMLNT nanocomposites, although the P-PMNT nanocomposites exhibited the lower electrical conductivity. For example, the S-PMLNT samples with 10 wt% MWCNTs showed an EMI SE of 48.1 dB and an electrical conductivity of 333 S/m, which changed to 58.6 dB in EMI SE and 125 S/m in electrical conductivity after removing PLLA phase. Furthermore, the P-PMNT10 nanocomposites had outstanding the EMI normal SE (SE/d) of 29.3 dB mm−1 and the EMI specific shielding effectiveness (SSE/d) of 344.4 dB cm2 g−1 because of their low density. In addition, the P-PMNT nanocomposites maintained high compression and tensile strength simultaneously.