Segregated conductive polymer composites (CPCs) have important application prospects in the field of electromagnetic interference (EMI) shielding but suffer from weak mechanical properties that significantly limit their practical applications. In this work, three-dimensional (3D) printing is employed to construct continuous thermoplastic polyurethane (TPU) scaffolds with different interlayer angles of π/5, π/4, π/3, 2π/5, and π/2. Subsequent carbon nanotube (CNT) dip-coating and hot-pressing lead to the successful fabrication of co-continuous segregated CNT/TPU (CNT/TPU-CCS) composites. It is found that the composites not only achieve high EMI shielding properties but also obtain excellent mechanical properties. With only 4.0 wt % of CNT, the CNT/TPU-CCS composites with the interlayer angle of π/3 (CNT/TPU-CCS-π/3) exhibit a high electrical conductivity of 42.2 S/m and a remarkable EMI shielding effectiveness (EMI SE) of 43.1 dB, which are 75% and 72%, respectively, higher than that of the CNT/TPU composites with conventional segregated structure. The CNT/TPU-CCS-π/3 composites also have superior mechanical properties, showing a tensile strength and elongation at break of 17.8 MPa and 377.3%, respectively, which are 196.8% and 1540.6% higher than those of the conventional segregated CNT/TPU composite. This work provides a new facile, economic, and efficient strategy to construct segregated CPCs with both high EMI shielding performance and mechanical properties, and could promote the practical application of segregated CPCs in the next-generation electronic devices.