In this study, the cryomilling of carbon nanotubes (CNTs) was carried out to accomplish better dispersion without using any hazardous chemicals. Accordingly, different samples of CNTs were prepared by varying the milling speed (10, 20, and 25 Hz) and time (5, 10, and 15 min) and incorporated into the poly(methyl methacrylate) (PMMA) matrix. The changes of the morphology were analyzed by utilizing a field emission scanning electron microscope (FESEM) and a high-resolution transmission electron microscope (TEM). Qualitative analysis of the cryomilled CNTs was carried out using Raman spectroscopy, and their surface area was determined via Brunauer–Emmett–Teller (BET) analysis. Subsequently, thermogravimetric analysis was conducted to evaluate the thermal properties, whereas the surface resistivity and electromagnetic interference shielding effectiveness for the electrical conductivity were also examined. It was observed that the composite with Cr-20-10 showed better thermal stability and lower resistivity in comparison to the others because, as the cryomilling time and frequency increased the distribution, dispersion and surface area also increased. Consequently, a better interaction between CNTs and PMMA took place.