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 (0-18 vol.%) were injection-molded. Foamed composites were fabricated using a facile technique of melt mixing followed by supercritical fluid-treatment and physical foaming in an injection molding process. The effects of foaming on the dispersion, exfoliation, orientation and inter-connectivity of platelets, and heat dissipation functionality were investigated. The introduction of microcellular foaming, significantly changed the orientation of platelets, enhanced their inter-connectivity 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 of product up to 800% (3.75 W/m.k). 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.