Herein, effect of phase morphology and distribution of multi-walled carbon nanotubes (CNT) on microwave shielding was investigated in the poly(ε-caprolactone)/poly(l-lactide)/CNT (PCL/PLA/CNT) composites. The composites with co-continuous and “sea-island” morphology was obtained by regulating the PCL/PLA ratio. Besides, the sandwiched and multi-layered morphology were fabricated by a two-step melt compression. The (10/90) PCL/PLA/CNT composites, which had the PCL/PLA ratio of 10/90, “sea-island” morphology and small PCL/CNT (PCLNT) “islands”, showed higher microwave shielding effectiveness (SE) than the other co-continuous and “sea-island” morphologies because of the relatively high conductivity and high-efficient multiple scattering. Furthermore, the sandwiched morphology which consisted of two PCLNT layers sandwiching PLA layer (PCLNT|PLA|PCLNT) showed the best shielding performance among the samples owning different morphology. This phenomenon was attributed to the high-efficiency reflection at interface, and then the reflected waves being absorbed by PCLNT layers, which was more efficient than multiple scattering in the “sea-island” morphology for microwave shielding.