In this study, polyvinyl alcohol (PVA)/graphene nano-sheets (GNs) composites are produced via solution mixing and melt compounding methods, where multi-walled carbon nanotubes (MWCNTs) are added during process. After that, the test results show that PVA/GNs composites composed of 0.25 wt% GNs possess the optimal tensile strength, while the others composed of 2 wt% GNs have a higher thermal stability, electrical conductivity, and electromagnetic interference shielding effectiveness (EMI SE). The addition of MWCNTs provides the PVA/GNs composites with better synergy that can enhance the tensile properties, thermal stability, electrical conductivity, and EMI SE of composites. In comparison to the melt compounding method, the solution mixing method can yield improved properties.