There is a growing interest in porous conductive polymer composites (CPCs) in view of lower density and more sufficient material utilization than solid counterparts, but they are still limited by poor performance. Few measures have been taken to deal with the problem by now. Herein, double percolated structure, supercritical carbon dioxide (scCO2) annealing treatment and scCO2 foaming were first combined to fabricate polystyrene (PS)/poly (methyl methacrylate) (PMMA)/multi-wall carbon nanotube (MWCNT) composite foams with porous double percolated structure. Due to the effective phase coarsening in scCO2 before foaming, the composite foams with density of 0.49 g/cm3 exhibited excellent electrical conductivity of 2.69 S/m and electromagnetic interference shielding effectiveness of 25.30 dB at thin thickness of 2 mm and low MWCNT loading of 2 vol%. In addition, absorption was the dominant shielding mechanism. For composite foams, the percolation threshold decreased from 0.14 vol% to 0.07 vol% after phase coarsening in 180 °C scCO2. This work provides a green and versatile method for preparing porous CPCs with double percolated structure and improved electrical conductivity.