Formation of segregated structure in conductive polymer composites (CPCs) is an efficient strategy to achieve high electrical conductivity at relatively low filler loading. Nevertheless, not every polymer can meet the requirements for the conventional hot compression molding (CM), and it will always result in the weak interfacial bonding among the polymer domains. Herein, a clean and energy-saving approach based on selective microwave sintering (SMS) was proposed to fabricate the segregated poly(ethylene-co-octene) (POE)/carbon nanotube (CNT) composites with significantly enhanced electromagnetic interference (EMI) shielding and mechanical performance. CNT nanoparticles were selectively dispersed and coated on the surface of POE granules under an external force field. The coated CNT layer served as the microwave absorber, thus inducing the local melting and welding of the neighboring POE domains without destroying the original CNT segregated network. In this way, the intense inter-diffusion and entanglement of POE chains occurred in the interface regions to ensure high-quality sintering among POE granules. The prepared conductive POE/CNT composites were endowed with the significantly enhanced mechanical properties, showing nearly 2 times of tensile strength and over 10 times of elongation at break than the samples prepared by hot compaction. Also, the SMS composites with only 2.10 vol% CNT exhibited the excellent electrical conductivity of 26.0 S/m and EMI SE of 34.7 dB at the frequency of 12.0 GHz, respectively. What's more, the sintering process, reinforcement mechanism, and fusion behavior among neighboring polymer granules were intensively investigated via infrared thermography and COMSOL simulation.