Multi-walled carbon nanotube (MWNT) filled polystyrene (PS) composites were synthesized for electromagnetic interference (EMI) shielding applications. SEM images of composites showed the formation of the conducting networks through MWNTs within the PS matrix. The measured DC conductivity of composites increased with increasing MWNT loading, showing a typical percolation behavior. EMI shielding characteristics of MWNT-PS composites were investigated in the frequency range of 8.2–12.4 GHz (X-band). It was observed that the shielding effectiveness (SE) of such composite increased with the increase of MWNT loading. The SE of the composite containing 7 wt% MWNTs could reach more than 26 dB in the measured frequency region.