Manipulation of the conductive network is essential for the electromagnetic interference (EMI) shielding performance of conductive polymer composites, which have broad application prospects to address the concerns of electromagnetic pollution emitted by modern electronics. In this work, the oriented segregated structure was achieved in carbon nanotube (CNT)/ultrahigh molecular weight polyethylene (UHMWPE) composites via solidphase stretching and the orientation of segregated network was controlled by adopting different draw ratios. Benefiting from the unique oriented segregated structure, the composites delivered prominent EMI shielding performance with intriguing frequency selectivity, which did not occur in conventional segregated composites. Moreover, remarkable mechanical reinforcement was obtained in the oriented segregated composites, which was attributed to the interfacial crystallization along segregated pathways and the formation of highly oriented lamellae. At a draw ratio of 6, the oriented segregated composite with 2 wt% CNTs showed the maximum EMI shielding effectiveness of 33.5 dB and tensile strength of 216.1 MPa, which surpassed the conventional segregated composite by 69.2% and 455.5%, respectively. This effort demonstrates a simple, feasible, and effective approach for the design and fabrication of mechanically robust, bandwidth-selective EMI shielding composites.