We report here the development of transparent and strong polymer composites reinforced by unmodified cellulose nanofibrils (CNFs) with a Pickering emulsion gelation strategy. The CNFs entangle and firmly stabilize on the surface of emulsion droplets containing polymethyl methacrylate (PMMA) solution, leading to the gelation of the emulsions. CNFs/PMMA composites were generated via vacuum filtration and solvent washing of the gel and a subsequent two-step hot pressing. The composites contained a unique self-assembled two-tier hierarchy of CNFs networks and demonstrate promising transparency, tensile strength, flexibility, and an extremely low thermal expansion. Remarkably, these properties are highly tunable with varying the concentration of CNFs and the volume ratio of the water to oil phase. This work offers a facile route to realize the well dispersion of unmodified CNFs in hydrophobic polymer matrix and achieve high performance of polymeric materials reinforced by CNFs.