Biodegradable epoxy (B-epoxy) was prepared from diglycidyl ether of bisphenol A and epoxidized linseed oil. The mechanical properties of B-epoxy composites reinforced with multi-walled carbon nanotubes (MWCNTs/B-epoxy) were examined by employing dynamic mechanical analysis, critical stress intensity factor (KIC) tests, and impact strength tests. The electromagnetic interference shielding effectiveness (EMI-SE) of the composites was evaluated using reflection and absorption methods. Mechanical properties of MWCNTs/B-epoxy were enhanced with an increase in the MWCNT content, whereas they deteriorated when the MWCNT content was >5 parts per hundred resin (phr). This can likely be attributed to the entanglement of MWCNTs with each other in the B-epoxy due to the presence of an excess amount of MWCNTs. The highest EMI-SE obtained was ~16 dB for the MWCNTs/B-epoxy composites with a MWCNT content of 13 phr at 1.4 GHz. The composites (13 phr) exhibited the minimum EMI-SE (90%) when used as shielding materials at 1.4 GHz. The EMI-SE of the MWCNTs/B-epoxy also increased with an increase in the MWCNT content, which is a key factor affecting the EMI-SE.