The reduction in the weight of conductive polymer composites is particularly desirable for their electromagnetic interference (EMI) shielding applications, which brings about material and energy savings. Foaming is undoubtedly an effective way to make materials lightweight. Nevertheless, adverse effects usually exist in traditional foaming methods via decomposition of chemical foaming agent or release of subcritical carbon dioxide. Polymer foam with satisfactory EMI shielding effectiveness (SE) over 20 dB requires the target electrical conductivity of 1 S/m that can only be achieved at a relatively high content of electrical nanofiller, while the high nanofiller content unquestionably makes the formation of foam structure extremely difficult. Thus, fabrication of low-density polymer foam with high electrical conductivity and EMI SE remains a daunting challenge. In this work, a novel method combined of compression molding and salt-leaching was utilized to manufacture lightweight EMI materials based on carbon nanotube (CNT) and high-density polyethylene (HDPE). Even at a very high CNT content of 30 wt%, the foam composite could be easily fabricated with a density as low as 0.24 g/cm3. The foam composite shows excellent electrical conductivity of 6.3 S/m and EMI SE of 27.1 dB at a thickness of only 2.5 mm. Tuning CNT to be squeezed along specific paths in foam matrix instead of randomly distributed in the whole system further enhances the EMI SE to 36.2 dB, a relatively high value ever reported for conductive polymer foam composites. Our approach is particularly suitable for the preparation of most thermoplastic polymers filled with various nanofillers, even with an ultrahigh loading, which provides a novel idea for fabricating new lightweight EMI shielding materials against electromagnetic radiation, especially for aircraft and spacecraft applications.