Polystyrene (PS)/poly(methyl methacrylate) (PMMA)/multiwalled carbon nanotube (MWCNT) blends are prepared using six different processing techniques to investigate the effect of processing techniques on electromagnetic interference shielding effectiveness (EMI SE) of immiscible polymer blend nanocomposites. Different processing strategies (e.g., sequence of addition of components) and blend compositions influence final morphology, selective localization, and dispersion of MWCNT, which are studied by SEM and TEM analysis. We achieved increased EMI SE in polymer blend nanocomposites through multiple scattering (selective localization-assisted interphase and better dispersion-aided intertube scattering), unlike traditional metal shields, which mostly depend on reflection. PS/PMMA(20:80) and PS/PMMA(80:20) blend nanocomposites with 2.7 vol % MWCNT made by one-step solution mixing exhibited 22 and 21 dB EMI SE at 0.8 mm thickness. EMI SE is found to increase with composite thickness. Immiscible polymer blend nanocomposites display a higher rate of increase in EMI SE with an increase in thickness compared to single polymer nanocomposites. This increased rate of EMI SE in blend nanocomposites is attributed to the synergistic effect of interphase scattering and intertube scattering, whereas only intertube scattering plays a role in single polymer nanocomposites. The PS/PMMA(80:20) blend nanocomposite with 2.7 vol % MWCNT shows 30 dB EMI SE at 2 mm thickness. This work shows the impact of multiple scattering on enhancing EMI SE in microphase-separated polymer blend nanocomposites.