In this work，we dissolved the α-cellulose in pre-cooled sodium hydroxide (NaOH) and urea solution, and dispersed multi-walled carbon nanotubes (MWCNTs) in solution with the help of cetyltrimethylammonium bromide (CTAB), then cross-linked for 48h to form a gel. The gel was placed in distilled water to displace the sodium hydroxide. After the distilled water was neutral, the gel was freeze-dried to obtain a cellulose/MWCNTs aerogel. We prepared cellulose aerogel with 10 wt% MWCNTs, its density is 81.2 mg/cm3 and electrical conductivity is 1.3 S/m. Such a conductive aerogel material can be applyed in electromagnetic interference (EMI) shielding. Next, using the aerogel as a template, the thermoplastic polyurethane (TPU) was cast into the aerogel by solution method to obtain a cellulose/TPU/MWCNTs composite. The composite is then foamed by supercritical CO2, and nano-scale cells can be achieved due to the limitation of the aerogel matrix. This results in a composite foam material that combines light weight, toughness and EMI shielding.