In this paper, a solvent vapor-induced phase separation (SVIPS) technique was used to create a porous structure in polyvinylidene fluoride/Multi-walled carbon nanotube (PVDF/MWNTs) composites with the aim of increasing the electrical conductivity through the incorporation of MWNTs while retaining a low thermal conductivity. By using the dimethylformamide/acetone mixture, porous networks could be generated in the PVDF/MWNTs composites upon the rapid volatilization of acetone. The electrical conductivity was gradually enhanced by the addition of MWNTs. At the same time, the thermal conductivity of the PVDF film could be retained at 0.1546 W·m⁻¹·K⁻¹ due to the porous structure being even by loaded with a high content of MWNTs (i.e., 15 wt.%). Thus, the Seebeck coefficient, power factor and figure of merit (ZT) were subsequently improved with maximum values of 324.45 μV/K, 1.679 μW·m⁻¹·K⁻², and 3.3 × 10⁻³, respectively. The microstructures, thermal properties, and thermoelectric properties of the porous PVDF/MWNTs composites were studied. It was found that the enhancement of thermoelectric properties would be attributed to the oxidation of MWNTs and the porous structure of the composites. The decrease of thermal conductivity and the increase of Seebeck coefficient were induced by the phonon scattering and energy-filtering effect. The proposed method was found to be facile and effective in creating a positive effect on the thermoelectric properties of composites.