Multi-walled carbon nanotubes were synthesized by dc-arc discharge in helium atmosphere and the effect of calcination at different temperatures ranging from 300-600 degrees C was studied in detail. The degree of degradation to the structural integrity of the multi-walled carbon nanotubes during the thermal process was studied by Raman spectroscopy, Scanning electron microscopy and High resolution transmission electron microscopy. The thermal behaviour of the as prepared and calcined samples was investigated by thermogravimetric analysis. Calcination in air at 400 degrees C for 2 hours was found to be an efficient and simple method to eliminate carbonaceous impurities from the nanotube bundles with minimal damage to the tube walls and length. The impurities were oxidized at a faster rate when compared to the nanotubes and gave good yield of about 50%. The nanotubes were observed to be damaged at temperature higher than 450 degrees C. The results show that this method is less destructive when compared liquid phase oxidation with 5 M HNO3.