Functional polymethylmethacrylate (PMMA)/graphene nanocomposite microcellular foams were prepared by blending of PMMA with graphene sheets followed by foaming with subcritical CO2 as an environmentally benign foaming agent. The addition of graphene sheets endows the insulating PMMA foams with high electrical conductivity and improved electromagnetic interference (EMI) shielding efficiency with microwave absorption as the dominant EMI shielding mechanism. Interestingly, because of the presence of the numerous microcellular cells, the graphene-PMMA foam exhibits greatly improved ductility and tensile toughness compared to its bulk counterpart. This work provides a promising methodology to fabricate tough and lightweight graphene-PMMA nanocomposite microcellular foams with superior electrical and EMI shielding properties by simultaneously combining the functionality and reinforcement of the graphene sheets and the toughening effect of the microcellular cells.