Polymer-based composites with excellent heat transfer properties have been widely applied in the thermal management system. However, the poor dispersion of filler restricts the heat dissipation performance of composites and the strong interfacial thermal barrier is another crucial issue. Herein, core–shell-structured polystyrene@multiwalled carbon nanotubes (PS@MWCNTs) composites were prepared by a one-step microemulsion polymerization method. The resultant PS@MWCNT composite with interconnected MWCNTs on the surface, as a thermally conductive network, was further processed and formed via hot pressing. As a consequence, the high thermal conductivity of 1.357 W/m K was achieved at MWCNTns loading of 10 wt%, which is equivalent to a thermal conductivity enhancement of 618% compared to pure PS (0.189 W/m K). Besides, the obtained PS@MWCNT composite film also possesses a low sheet resistance. This method can be further extended to construct other polymer-based composites with high thermal conductivity.