In this study, the effect of the addition of multi-walled carbon nanotubes (MWCNTs), at three percentages, into the urea-formaldehyde (UF) shell-wall of microcapsules on the healing efficiency is reported. The modified shell-wall created a conductive network in semi-conductive epoxies, which led to an improvement of the electromagnetic interference shielding effectiveness (EMI SE); utilizing the excellent electrical properties of the CNTs. The microcapsule's mean diameter and shell wall were examined via scanning electron microscopy (SEM). Thermal stability was evaluated via thermogravimetric analysis (TGA). The healing efficiency was assessed in terms of fracture toughness, while the electrical properties were measured using impedance spectroscopy. The measurements of the EMI SE were carried out in the frequency range of 7-9 GHz. The derived results indicated that the incorporation of the CNTs resulted in a decrease in the mean size of the microcapsules, while the thermal stability remained unchanged. In particular, the introduction of 0.5% / CNTs did not affect the healing efficiency, while it increased the initial mechanical properties of the epoxy after the incorporation of the self-healing system by 27%. At the same time, it led to the formation of a conductive network, providing electrical conductivity to the epoxies. The experimental results showed that the SE increased on average 5 dB or more after introducing conductive microcapsules.