Herein an industrially-viable technique for manufacturing a new class of lightweight polymer-graphene nanoplatelet (GnP) nanocomposites with enhanced electrical and electromagnetic interference (EMI) shielding properties is presented. Using this method, we fabricated high-density polyethylene (HDPE)-GnP composites with a microcellular structure by melt mixing followed by supercritical fluid (SCF) treatment and physical foaming in an injection molding process. We demonstrated, that physical foaming can substantially increase the electrical conductivity, dielectric permittivity and EMI shielding effectiveness (SE) and can reduce the percolation threshold of the polymer-GnP composites. The SCF treatment effectively in-situ exfoliated the GnPs in the polymer matrix. Moreover, the generation of a microcellular structure changed the GnP’s flow-induced orientation which resulted in a unique GnP arrangement around the cells with enhanced GnPs’ interconnectivity. This significantly increased the through-plane conductivity up to nine orders of magnitude and decreased the percolation threshold by up to 62%. The injection-molded HDPE-12.6 vol.% GnP composite foams had a real permittivity of ε'=275.8 which were greatly superior to their solid counterparts with a real permittivity of ε'=7.3. The HDPE−19 vol. % GnP composite foams exhibited an EMI SE value of 31.6 dB which was 45% higher than that of that of solid counterpart. Thus, this facile method provides a scalable method to produce lightweight conductive polymer-GnP composites, with enhanced electrical properties.