Lightweight and multifunctional PMMA/Fe3O4@MWCNTs composite foams with density of 0.22–0.38g/cm3 were fabricated by supercritical carbon dioxide (ScCO2) foaming process. Benefitting from the existence of microcellular structure and the Fe3O4@MWCNTs hybrids, the specific Electromagnetic interference shielding effectiveness (EMI SE) of obtained PMMA/Fe3O4@MWCNTs foams was significantly enhanced. The resulting foams with hybrids loading of 7wt% displayed excellent specific EMI SE of 50dB/(g/cm3) over the X-band. Furthermore, the EMI shielding mechanisms of the porous materials were discussed and it suggested that the dominant contribution to EMI SE was absorption. Meanwhile, the high-strength composite foams also exhibited superparamagnetic behavior and low thermal conductivity of 0.080–0.142W/(mk). In this work, we provide a feasible way to produce lightweight and multifunctional PMMA/Fe3O4@MWCNTs foams with superior EMI shielding performance to apply in the electronics and aerospace industries.