A new class of thermally conductive microcellular polymer nanocomposites of graphene nanoplatelets (GnP) is reported. Foamed and solid high-density-polyethylene (HDPE)-GnP composites containing different GnP contents (0-16 vol.%) were injection-molded. Foamed composites were fabricated using dissolved pressurized nitrogen gas. The effects of foaming on the dispersion, exfoliation, orientation and inter-connectivity of platelets, and thermal percolation threshold were investigated. The introduction of microcellular foaming, significantly changed the orientation of platelets, enhanced their inter-connectivity via biaxial stretching of the matrix and further exfoliated GnPs in the polymer. Hence, foaming reduced the density of the injection-molded samples up to 30%, and enhanced the thermal conductivity up to two folds. The results revealed that lightweight, highly thermally conductive products with lower filler loading, can be fabricated using foam injection molding for various applications in miniaturized electronic devices, and electric motor systems.