As a high-temperature thermoelectric (TE) material, ZnO offers advantages of non-toxicity, chemical stability, and oxidation resistance, and shows considerable promise as a true ready-to-use module under air conditions. However, poor electrical conductivity and high thermal conductivity severely hinder its application. Carbon nanotubes (CNTs) are often used as a reinforcing phase in composites, but it is difficult to achieve uniform dispersion of CNTs due to van der Waals forces. Herein, we developed an effective in-situ growth strategy of homogeneous CNTs on ZnO nanoparticles by exploiting the chemical vapor deposition (CVD) technology, in order to improve their electrical conductivity and mechanical properties, as well as reducing the thermal conductivity. Meanwhile, magnetic nickel (Ni) nanoparticles are introduced as catalysts for promoting the formation of CNTs, which can also enhance the electrical and thermal transportation of ZnO matrices. Notably, the electrical conductivity of ZnO is significantly boosted from 26 to 79 S·cm−1 due to the formation of dense and uniform conductive CNT networks. The lattice thermal conductivity (κL) is obviously declined by the intensification of phonon scattering, resulting from the abundant grain boundaries and interfaces in ZnO-CNT composites. Importantly, the maximum dimensionless figure of merit (zT) of 0.04 at 800 K is obtained in 2.0% Ni-CNTs/ZnO, which is three times larger than that of CNTs/ZnO prepared by traditional ultrasonic method. In addition, the mechanical properties of composites including Vickers hardness (HV) and fracture toughness (KIC) are also reinforced. This work provides a valuable reference for dispersing nano-phases in TE materials to enhance both TE and mechanical properties.