This work attempts to bring critical insights into the electromagnetic shielding efficiency in polymeric nanocomposites with respect to the particle size of magnetic nanoparticles added along with or without a conductive inclusion. To gain insight, various Ni–Fe (Ni_xFe_1−x; x = 10, 20, 40; Ni: nickel, Fe: iron) alloys were prepared by a vacuum arc melting process and different particle sizes were then achieved by a controlled grinding process for different time scales. Poly(vinylidene fluoride), PVDF based composites involving different particle sizes of the Ni–Fe alloy were prepared with or without multiwall carbon nanotubes (MWNTs) by a wet grinding approach. The Ni–Fe particles were thoroughly characterized with respect to their microstructure and magnetization; and the electromagnetic (EM) shielding efficiency (SE) of the resulting composites was obtained from the scattering parameters using a vector network analyzer in a broad range of frequencies. The saturation magnetization of Ni–Fe nanoparticles and the bulk electrical conductivity of PVDF/Ni–Fe composites scaled with increasing particle size of Ni–Fe. Interestingly, the PVDF/Ni–Fe/MWNT composites showed a different trend where the bulk electrical conductivity and SE scaled with decreasing particle size of the Ni–Fe alloy. A total SE of −35 dB was achieved with 50 wt% of Ni₆₀Fe₄₀ and 3 wt% MWNTs. More interestingly, the PVDF/Ni–Fe composites shielded the EM waves mostly by reflection whereas, the PVDF/Ni–Fe/MWNT shielded mostly by absorption. A minimum reflection loss of −58 dB was achieved in the PVDF/Ni–Fe/MWNT composites in the X-band (8–12 GHz) for a particular size of Ni–Fe alloy nanoparticles. This study brings new insights into the EM shielding efficiency in PVDF/magnetic nanoparticle based composites in the presence and absence of conducting inclusion.