A novel multifunctional composite foam was fabricated by creating the tunable cellular structure in segregated poly(ethylene-co-octene) (POE)/carbon nanotube (CNT) composite through supercritical carbon dioxide (scCO(2)) foaming, functioning on the variation of destruction and recovery of the segregated conductive network. The segregated structure was successfully constructed by selectively assembling CNT on the interfaces of POE granules via ball milling, followed by the preservation of conductive networks during hot compression molding. As a result of the well-assembled domains, the prepared POE/CNT composite exhibited excellent electrical conductivity of 26.8 S/m and a low percolation threshold of 0.17 vol %. Then, scCO(2) was utilized as the physical blowing agent to introduce the microcellular structure in the segregated POE/CNT composite. In this way, the obtained unique cellular segregated structure endowed the foamed POE/CNT with the adjustable electrical conductivity and electromagnetic interference (EMI) shielding performance by simply changing the expansion ratio. The fabricated POE/CNT sensor shows various levels of sensitivity when different cellular structures were created in segregated CNT network after foaming. The working principle is the change in the electrical resistance caused by the different responsive mechanism, i.e., the micro gap between CNTs on the cellular framework and the destroying/recovery of the integral CNT network under comprehensive deformation. This multifunctional and flexible foam may have a promising application in the field of electronic devices.