There is currently intense research interest in silicon based anodes in lithium‐ion batteries. Modification approaches for nano‐sized silicon materials are popular, while much less attention has been paid on irregular bulk silicon particles. Here, we report that soft multiwall carbon nanotube membranes could be functioned as a shield on low‐cost micro‐sized silicon anodes to improve the cycling stability. The micro‐sized silicon could deliver a high reversible capacity of over 1000 mAh g−1 after 50 cycles at 0.36 A g−1 with the protection of a soft multiwall carbon nanotube membrane. Furthermore, the capacity could also be retained at ∼610 mAh g−1 at 0.5 A g−1 after 1200 cycles. The much improved performance upon cycling is mainly attributed to the alleviation of the large volume change. This strategy has also been proved effective in traditional nano‐silicon anodes, as a quite high capacity of about 5 mAh cm−2 could be obtained after 200 cycles. Overall, simply using a soft multiwall carbon nanotube membrane is a so far overlooked strategy, which is effective for improving performance of silicon anodes.