Multi-walled carbon nanotubes (MWCNTs) are a high-quality interlamination reinforcement material, but the high viscosity of polyetheretherketone (PEEK) prevents good fusion between MWCNTs and PEEK. This study proposes a method to achieve the complete integration of MWCNTs and PEEK through the preparation of a composite film using the vacuum suction filtration (VSF) method and optimizes the process parameters. An orthogonal experiment with three factors (filter paper pore size, ultrasonic dispersion time, and PEEK content) at three levels is designed, and mechanical performance testing and microscopic morphology observation are conducted. The influence of the three factors of filter paper pore size, ultrasonic time, and PEEK content on the elastic modulus and tensile strength of the film is investigated. The results are a filter paper pore size of 0.45 μm, ultrasonic time of 8.3 h, and PEEK content of 336.524 mg. The mechanical performance obtained under the optimal process parameters are an elastic modulus of 2437.5723 MPa and a tensile strength of 46.5196 MPa. This optimal process increases the elastic modulus by 12.3152% while maintaining a high tensile strength.