A novel Pickering emulsion-based method is proposed to fabricate conductive polymer composites based on poly(p-phenylene oxide) with superior electrical performance and thermal stability. To overcome the incapability of separating high-boiling-point solvent toluene from the emulsion by traditional solvent evaporation method, supercritical CO2 was utilized as an anti-solvent and extraction solvent. Results showed that hollow microparticles coated by carbon black were formed with an average particle size of 24.88 µm. After hot-pressing at 260 °C, segregated networks were established and the composites showed a percolation threshold of 1.85 wt%. The specimen with a carbon black loading of 9.1 wt% showed a conductivity of 78.44 ± 3.96 S/m and a tensile strength of 30.8 ± 2.8 MPa, with superior thermomechanical performance (Young’s Modulus of 2203.9 at 200 °C) and insignificant positive temperature coefficient effect (an increase in resistivity by 57.9% up to 300 °C).