This study aims to prepare a structurally and functionally integrated polyetheretherketone/multi-wall carbon nanotubes (PEEK/MWCNTs) electromagnetic shielding composites by sandwich structure. The PEEK ultra-fine powder and MWCNTs mixed by mechanical blending were selected as the core-layer and PEEK-based film acted as the surface-layer. The results indicate that the electromagnetic shielding effectiveness (SE) and mechanical properties of the composites can be controlled by adjusting the ratio of PEEK which was chosen as the binder in the core-layer, the number of the core-layer and the composition of the surface-layer without sacrificing their thermal stability. Moreover, the specific electromagnetic shielding effectiveness (SSE), electrical conductivity, tensile strength and temperature of 5% weight loss (Td5%) of the optimized PEEK/MWCNTs composite reach 79.5 dB/mm, 1.8 S/cm, 93 MPa and 594°C, respectively. The performances of the above composite are obviously superior to those of the recently reported EMI composites. The improvements in the properties should be mainly attributed to the two factors: the dense conductive network formed by MWCNTs in the core-layer, and the good interface adhesion between MWCNTs-MWCNTs in the core-layer as well as between the core-layer and the surface-layer.