It is well accepted that the microcellular structure can enhance electromagnetic interference shielding (EMI) properties due to the multiple reflection and scattering in the microcells. Moreover, the foams were proved to be the competitive materials owing to the savings of energy and raw materials. In this study, the poly(vinylidene fluoride) (PVDF)/CNTs composite foams were successfully prepared through a facile home-made batching foaming avenue. The microcellular structure of PVDF/CNTs foams can be tuned by the batching foaming temperature. We can notice that the void fraction of foams firstly increased and then decreased with increasing temperature. In addition, we also investigated the electrical conductivity and electromagnetic shielding properties of PVDF/CNTs foams. The results revealed that the electrical conductivity and EMI shielding properties can be effectively monitored, and the PVDF/CNTs foam with low void fraction exhibited the highest electrical conductivity and EMI shielding properties. The optimal EMI values of PVDF/CNTs foams with a void fraction of 36.1% was 41.6 dB at a thickness of 2.5 mm. An analysis of the shielding mechanism showed that the main contribution to the EMI shielding came from the absorption mechanism, and that the EMI shielding could be tuned by controlling the foams’ thickness. Thus, these PVDF/CNTs foams could be considered as the lightweight high-efficiency EMI materials.