Sulfur (S) cross-linking styrene butadiene rubber (SBR) foams show high shrinkage due to the cure reversion, leading to reduced yield and increased processing cost. In this paper, double cross-linking system by S and dicumyl peroxide (DCP) was used to decrease the shrinkage of SBR foams. Most importantly, the synergy of double cross-linking agents was reported for the first time to our knowledge. The cell size and its distribution of SBR foams were investigated by FESEM images, which show the effect of DCP content on the cell structure of the SBR foams. The relationships between shrinkage and crystalline of SBR foams were analyzed by the synergy of double cross-linking agents, which were demonstrated by FTIR, Raman spectra, XRD, DSC and TGA. When the DCP content was 0.6 phr, the SBR foams exhibit excellent physical and mechanical properties such as low density (0.223 g/cm3), reduced shrinkage (2.25%) and compression set (10.96%), as well as elevated elongation at break (1.78 × 103%) and tear strength (54.63 N/mm). The results show that these properties are related to the double cross-linking system of SBR foams. Moreover, the double cross-linking SBR foams present high electromagnetic interference (EMI) shielding properties compared with the S cross-linking SBR foams.