In the current work, we illustrate a facile strategy to improve thermal conductivity of polyvinylidene fluoride/expanded graphite (PVDF/EG) composites by pre-treatment of EG via the newly explored ball milling. Before conventional melt processing, EG powders were treated by shear-force-dominated ball milling. In this way, the loose and porous vermicular structure of EG could be effectively destroyed and partly exfoliated to graphite nanosheets (GNSs), the size of which can be simply controlled by adjusting milling time. As a result, the PVDF/GNSs composites show improved thermal conductivity owing to better dispersion. Filler content fixed at 15%, the thermal conductivity of PVDF/GNSs composites can reach 1.29 Wm-1K-1, 42.5% higher than that of PVDF/EG (0.90 Wm-1K-1). More importantly, the electromagnetic interference (EMI) shielding and tensile strength of PVDF/CNSs composites is also improved. Our work provides a simple and scalable method for filler treatment and has great potential for improving thermal conductivity of polymer composites in the fields of engineering.