Herein, a facile ultrasonic-assisted strategy was proposed to fabricate the Pd-Pt alloy/multi-walled carbon nanotubes (Pd-Pt/CNTs) nanocomposites. A good number of Pd-Pt alloy nanoparticles with an average of 3.4 ± 0.5 nm were supported on sidewalls of CNTs with uniform distribution. The composition of the Pd-Pt/CNTs nanocomposites could also be easily controlled, which provided a possible approach for the preparation of other architectures with anticipated properties. The Pd-Pt/CNTs nanocomposites were extensively studied by electron microscopy, induced coupled plasma atomic emission spectroscopy, X-ray diffraction, and X-ray photoelectron spectroscopy, and applied for the ethanol and methanol electro-oxidation reaction in alkaline medium. The electrochemical results indicated that the nanocomposites had better electrocatalytic activities and stabilities, showing promising applications for fuel cells.