Natural rubber/carbon nanotubes composite foams (F-NR/CNTs) with high electrical conductivity and excellent electromagnetic interference (EMI) performance were developed through a multi-step process including: (a) CNTs assembled on natural rubber latex particles, (b) pre-crosslinking of natural rubber, (c) supercritical carbon dioxide foaming of pre-crosslinked composite samples and (d) post-crosslinking of foamed composite samples. A closed-cell porous structure and a segregated CNT network are clearly observed in the resulting foams. Due to this morphology, F-NR/CNTs exhibit low density, good mechanical properties, and high electrical conductivity. Owing to the multiple radiation reflections and scattering between the cell-matrix interfaces, the composite foams presented an excellent specific shielding effectiveness (SSE) of 312.69 dB cm2 g-1 for F-NR/CNTs containing 6.4 wt% of CNTs, which is significantly higher than those already published for rubber composites containing comparable filler content. Furthermore, the analysis of EMI SE highlights that absorption efficiency is more significant than reflection efficiency, implying that most of the incident electromagnetic radiation is dissipated in the form of heat. This work provides the fundamentals for the design of innovative light weight and efficient EMI shielding foams characterized by a three-dimensional segregated CNT network with huge potential for use in the electronics and aerospace industries.