With the rapid development of portable microelectronic devices, materials with tunable electromagnetic shielding (EMI) performance and comfort of use have become urgently necessary. A lightweight, conductive thermoplastic polyurethane/multi-walled carbon nanotube (TPU/MWCNT) composite foam with a continuous gradient cell structure has been developed to impede electromagnetic wave reflection induced by excessive impedance mismatch. The continuous gradient distribution of cell structure and conductivity provides the TPU/MWCNT composite foams with distinct shielding effects of electromagnetic waves in both front and back gradient directions. The maximum front absorption coefficient (A) reached 0.93, which is higher than any foam with a uniform cell size within the cell size range of the gradient composite foams. At the same time, the gradient composite foams possess the characteristics of lightweight, high elasticity, and extensibility. The weight was decreased by 67.27–85.45 %, the elastic recovery ratio of compression reached 95 %, and the toughness was also excellent. Numerical simulation of the gradient foam model was conducted using CST Microwave Studio to uncover the gradient asymptotic dissipation mechanisms. The lightweight and stretchable continuous gradient foams show great promises for the next-generation portable electronic devices that generate no radiation pollution.