We developed an advanced bimodal polystyrene (PS)/multi-walled carbon nanotube (MWCNT) nanocomposite foam with a thermal conductivity of 30 mW/m-K without using any insulation gas. In the advanced bimodal foam, which had a 28-fold expansion ratio, the MWCNTs effectively reduced the radiative thermal conductivity by 8.5 mW/m-K, and marginally increased the conductivity via conduction due to a very low solid fraction. A theoretical model has been proposed which can analyze the thermal conductivity in bimodal nanocomposite foams. The proposed model verified the superior heat-blocking characteristics of the bimodal cellular morphology and the MWCNTs as follows: (1) The primary large cells acted to increase the expansion ratio, thereby decreased the solid conduction; (2) The secondary small cells were sufficiently small to induce the Knudsen effect on gas conduction; and (3) In the polymer matrix, the MWCNTs’ strong infrared (IR) absorption activity intensively blocked the IR transmission. Based on the model, a reduction in the secondary cell size from 5 µm to 100 nm would decrease the thermal conductivity to 20 mW/m-K. The proposed model clearly shows how one could take advantage of a bimodal cellular structure and use MWCNTs to further decrease the thermal conductivity by tailoring the foam structure.