Lightweight microcellular polyurethane (TPU)/carbon nanotubes (CNTs)/ nickel-coated CNTs (Ni@CNTs)/polymerizable ionic liquid copolymer (PIL) composite foams are prepared by non-solvent induced phase separation (NIPS). CNTs and Ni@CNTs modified by PIL provide more heterogeneous nucleation sites and inhibit the aggregation and combination of microcellular structure. Compared with TPU/CNTs, the TPU/CNTs/PIL and TPU/CNTs/Ni@CNTs/PIL composite foams with smaller microcellular structures have a high electromagnetic interference shielding effectiveness (EMI SE). The evaporate time regulates the microcellular structure, improves the conductive network of composite foams and reduces the microcellular size, which strengthens the multiple reflections of electromagnetic wave. The TPU/10CNTs/10Ni@CNTs/PIL foam exhibits slightly higher SE values (69.9 dB) compared with TPU/20CNTs/PIL foam (53.3 dB). The highest specific EMI SE of TPU/20CNTs/PIL and TPU/10CNTs/10Ni@CNTs/PIL reaches up to 187.2 and 211.5 dB/(g cm−3), respectively. The polarization losses caused by interfacial polarization between TPU substrates and conductive fillers, conduction loss caused by conductive network of fillers and magnetic loss caused by Ni@CNT synergistically attenuate the microwave energy.