Carbon foam composites containing hollow microspheres, reinforced by carbon nanotubes (CNTs) and montmorillonite (MMT), have been developed as the thermal insulation and EMI shielding layer. The effects of additive amounts of CNTs/ MMT on microstructure and properties of the carbon foam composites were investigated. Results showed that carbon foam composites had hierarchical porous structure, with CNTs and MMT being relatively uniformly dispersed in the composites. The addition of multiscale additives improved the mechanical, electromagnetic shielding effectiveness and thermal insulation properties of carbon foam composites. The composites containing 0.2 wt.% CNTs and 5 wt.% MMT, showed outstanding compressive strength, up to 8.54 MPa, increased by 116% to pure carbon foam. Their electromagnetic shielding effectiveness was as high as 65 dB, increased by 75%. Due to the hierarchical porous structure and MMT’s heat barrier effect, carbon foam composites presented remarkable thermal insulation properties. The minimum thermal conductivity was 0.45 W·m−1·K−1 at 800 °C. Their exceptional thermal protection can also be evidenced by ablation resistance under flame at 1000 °C. Therefore, such multifunctional carbon-based composites are ideal for use in thermal protection.