Flexible and efficient electromagnetic interference (EMI) shielding polymer composite foams are rapidly developing, but it is difficult to avoid the deterioration of shielding properties after foaming. To solve the issue, in this work, composite foams with multivariate gradient structure of thermoplastic polyurethane (TPU) mixed with multiwalled carbon nanotubes (MWCNTs) were constructed by combining the soft-hard domains proportional gradient of TPU with filler content gradient. Gradient-structured TPU/MWCNTs foams with impedance matching layer and high reflector layer were obtained and impedance matching layer with large cells significantly reduced the density while high reflector layer with a few cells maintained relatively perfect conductive network, whose shielding efficiency was 38.2 % higher than that of unfoamed sample. Furthermore, TPU/MWCNTs composite foams presented great stability even after 1000 times bending. This special multivariate gradient structure shows potential applications in microelectronic devices and aerospace fields and is critical to the development of high-performance EMI shielding polymer foams.