In this study, PMMA/CNTs composite materials with carboxyl-multi walled carbon nanotubes (c-MWNTs) or untreated MWNTs were prepared via in-situ bulk polymerization. The as-prepared PMMA/CNTs composite materials were then characterized by Fourier-Transformation infrared (FTIR) spectroscopy, and transmission electron microscopy (TEM). The molecular weights of PMMA extracted from PMMA/CNTs composite materials and bulk PMMA were determined by gel permeation chromatography (GPC) with THF used as the eluant. The PMMA/CNTs composite materials were used to produce foams by a batch process in an autoclave using nitrogen as foaming agent. The cellular microstructure, insulation and compressive mechanical properties of PMMA/CNTs composite foams were also investigated in detail. Compared to neat PMMA foam, the presence of CNTs increases in cell density and reduces cell size. The insulation and compressive mechanical properties of PMMA/CNTs composite foams were found to improve substantially those of neat PMMA foam. In particular, 22.6% decrease in thermal conductivity, 19.7% decrease in dielectric constant and 160% increase in compressive modulus were observed with the addition of 0.3 wt% carboxyl-multi walled carbon nanotubes (c-MWNTs).