Compared with the random distribution of nanofillers in polymer matrix, selective distribution of nanofillers in one phase, especially in the interfacial phase, is proposed to be the ideal scenario to achieve the special functional application in multiphase polymer composites. For CNTs, which have larger aspect ratios, selective distribution at the interfacial phase of immiscible polymer blends is very difficult. Here we introduce a method to selectively disperse CNTs into interfacial PS phase in PVDF/PS/HDPE ternary blends by the control of interfacial tension and phase viscosity. It is found that ternary composites with tri-continuous structure has the best effect to improve the electromagnetic interference shielding (EMI SE) with the same MWCNTs content compared with other comparison samples. The results show that the average EMI SE of PS/MWCNTs composite is 15 dB, indicating that ≈95% of the electromagnetic radiation is blocked by the shielding material. And for PVDF/PS-MWCNTs composite, the average EMI SE is about 18 dB which is still lower than the basic requirement value (~20 dB) for commercially application. However, for PVDF/PS/HDPE-MWCNTs composite, the EMI SE increases to about 30 dB, which indicates that ≈99.9% of the electromagnetic radiation is shielded. To clarify the EMI shielding mechanism in the PVDF/PS/HDPE-MWCNTs composites, the result indicates that the contribution of SER is negligible. The SEtotal , SEA, and SER at 9.5 GHz of the PVDF/PS/HDPE-MWCNTs composite with 1.6 vol.% MWCNTs are 31.7, 29.1, and 2.6 dB, respectively, which indicates that the contribution of absorption to the total EMI SE (91.8%) is much larger than that from reflection (8.2%), indicating an absorption dominant shielding mechanism rather than reflection