The thermal, the electrical conductivity, and electromagnetic shielding properties of low cost high-performance expanded graphite (EG)-filled polybenzoxazine matrix nanocomposites produced by a solution blending and compression molding technique were investigated. At 2.26 vol.% EG, a percolation threshold was detected, at which the electrical conductivity increased by nine orders of magnitude in comparison to the unfilled matrix. The electrical conductivity values increased from 1.35 S.cm−1 to 28.3 S.cm−1 by increasing the EG ratios in the nanocomposites from 7 wt.% and 15 wt.%. In addition, the morphological analysis results revealed good nanofiller dispersion and the formation of 3D-conductive pathways of EG into the polybenzoxazine matrix, which are responsible for the electrical conductivity improvement. Moreover, the electromagnetic interference (EMI) shielding efficiencies, in the X-band, of these nanocomposites have been significantly improved, reaching 57.2 dB at a 15 wt.% EG ratio. Furthermore, the inclusion of EG nanofiller significantly improved the thermal properties of the nanocomposites in terms of first degradation temperatures, char yields, and thermal conductivities. Because of these exceptional properties, these nanocomposites are ideal for high thermal EMI shielding applications.