An electromagnetic radiation absorber material with high shielding effectiveness as well as good mechanical and thermal properties was produced using multi-walled carbon nanotubes (MWCNTs) wrapped in poly(ether sulfone) (PES) dispersed in a poly(ether ether ketone) (PEEK) matrix fabricated by melt-blending. The electromagnetic, mechanical, and thermal properties of this material were characterized using a vector network analyzer, universal tester, and thermal gravimetric analyzer, respectively. The results indicate that wrapped-MWCNT–PEEK composites show different degrees of improvement in the measured properties compared to pure PEEK. This is attributed to the high conductivity of MWCNTs, the good dispersion of wrapped-MWCNTs in PEEK, and the strong interfacial adhesion between wrapped-MWCNTs and PEEK.