The studies focusing on magnesium oxychloride cement (MOC) composites have recently become fairly widespread because of MOC’s excellent mechanical properties and environmental sustainability. Numerous fillers, admixtures and nano-dopants were studied in order to improve the overall performance of MOC-based derivatives. Some of them exhibited specific flaws, such as a tendency to aggregate, increase in porosity, aeration of the composite matrix, depreciation in water resistance and mechanical strength, etc. In this manuscript, MOC-based composites doped by multi-walled carbon nanotubes (MWCNTs) are designed and tested. In order to modify the final properties of composites, diatomite was admixed as partial substitution of MgO, which was used in the composition of the researched material in excess, i.e., the majority of MgO constituted part of MOC and the rest served as fine filler. The composites were subjected to the broad experimental campaign that covered SEM (scanning electron microscopy), EDS (energy dispersive spectroscopy), HR-TEM (high-resolution transmission electron microscopy), XRD (X-ray diffraction), OM (optical microscopy) and STA-MS (simultaneous thermal analysis with mass spectroscopy). For 28 days hardened samples, macrostructural and microstructural parameters, mechanical properties, hygric and thermal characteristics were experimentally assessed. The incorporation of MWCNTs and diatomite resulted in the significant enhancement of composites’ compactness, mechanical strength and stiffness and reduction in water absorption and rate of water imbibition. The thermal properties of the enriched MOC composites yielded interesting values and provided information for future modification of thermal performance of MOC composites with respect to their specific use in practice, e.g., in passive moderation of indoor climate. The combination of MWCNTs and diatomite represents a valuable modification of the MOC matrix and can be further exploited in the design and development of advanced building materials and components.