Graphene-based thermally conductive polymer composites are of great importance for the removal of the excess heat generated by electronic devices. However, due to the orientation of graphene sheets in the polymer matrix, the through-plane thermal conductivity of polymer/graphene composites remains far from satisfactory. We here demonstrate a confined liquid-phase expansion strategy to fabricate highly oriented confined expanded graphite (CEG) aerogels. After being incorporated into epoxy resin (EP), the resulting EP/CEG composites exhibit a high through-plane thermal conductivity (4.14 ± 0.21 W m K) at a quite low filler loading of 1.75 wt % (0.91 vol %), nearly 10 times higher than that of neat EP resin and 7.5 times higher than the in-plane thermal conductivity of the composite, indicating that the CEG aerogel has a high through-plane thermal conductivity enhancement efficiency that outperforms those of many graphite/graphene-based fillers. The facile preparation method holds great industrial application potential in fabricating anisotropic thermally conductive polymer composites.