Abstract: Carbon-red mud foam/paraffin hybrid materials were prepared and studied for their thermal energy storage and electromagnetic interference (EMI) shielding properties. The host matrices were prepared utilizing the polymeric foam replication method, with a polyurethane sponge as a template, resin as a carbon source, and red mud as a filler. The paraffins, n-octadecane (OD) and the commercial RT18HC, were used as organic encapsulant phase change materials (PCMs) into the open pore structure of the foams. The foams’ morphological and structural study revealed a highly porous structure (bulk density, apparent porosity P > 65%), which exhibits elliptical and spherical pores, sized from 50 up to 500 μm, and cell walls composed of partially graphitized carbon and various oxide phases. The hybrid foams showed a remarkable encapsulation efficiency as shape stabilizers for paraffins: 48.8% (OD), 37.8% (RT18HC), while their melting enthalpies (ΔHm) were found to be 126.9 J/g and 115.5 J/g, respectively. The investigated hybrids showed efficient electromagnetic shielding performance in frequency range of 3.5–9.0 GHz reaching the entry-level value of ~20 dB required for commercial applications, when filled with PCMs. Their excellent thermal and EMI shielding performance places the as-prepared samples as promising candidates for use in thermal management and EMI shielding of electronic devices as well.