Electromagnetic interference (EMI) shielding materials with a high reflectivity will lead to secondary EMI pollution in electronic packages, thence necessitating absorption-dominated EMI shielding materials for handling reflection radiation. Herein, a lightweight heat-expandable microspheres/multiwall carbon nanotubes (HEM/MWCNT) composite with a gradient structure of MWWNT contents is successfully fabricated via the confined thermal expansion process. The HEM/MWCNT composites with porous structure demonstrate an average ultra-low density of 0.05 g/cm 3 . The MWCNT are mainly arranged in the interface of HEM, providing a segregated conductive network for the composites. More importantly, the EMI shielding effectiveness (SE) value of the HEM/MWCNT composite with a thickness of 3 mm is about 42.58 dB, which is far beyond the basic commercial shielding standard (20 dB) in X-band. Surprisingly, the absorption loss (SEA) for the HEM/MWCNT composites with gradient structure is over 40.52 dB as reflection loss (SER) is only 2.06 dB. Significantly, the average absorption coefficient (A) of the HEM/MWCNT composite is as high as 0.63 in X-band. This work suggests that the HEM/MWCNT composite with ultra-low density, high absorption coefficient, and outstanding EMI shielding performance, verifying the potential of the HEM/MWCNT composite for electronic devices.