Lightweight and efficient electromagnetic interference (EMI) shielding materials play a vital role in protecting high-precision electronic devices and human health. Porous PVDF/CNTs/urchin-like Ni composites with different cell sizes from nanoscale to microscale were fabricated through one-step supercritical carbon dioxide (CO₂) foaming. The electrical conductivity and electromagnetic interference (EMI) shielding performance of the composites with different cell sizes were examined in detail. The results indicated that the nanoscale cell structure diminishes the EMI shielding performance of the composite, whereas the microscale cell structure with an appropriate size is beneficial for improving the EMI shielding performance. A maximum EMI shielding effectiveness (SE) of 43.4 dB was achieved by the composite foams which is about twice that of the solid composite. Furthermore, as the supercritical CO₂ foaming process reduces the density of the composite by 25–50%, the EMI SSE (specific shielding effectiveness)/t(thickness) of the composite reaches 402 dB/(g/cm²), which is the highest value of polymer foam obtained to the best of the authors’ knowledge. Finally, compression tests were performed to show that the composites still maintained excellent mechanical properties after the supercritical CO₂ foaming process.