Zinc alloy has been considered as a promising candidate for orthopedic implants due to its suitable degradation rate and good biocompatibility. However, its mechanical properties still have to be optimized. Metal matrix composites (MMC) are an effective way to improve the mechanical properties of zinc alloy. In this study, pure zinc as matrix, Cu-coated multiwall carbon nanotubes (MWCNTs) were used as reinforcement, and MWCNTs/Zn composites were successfully prepared by combining the use of electroless deposition (ED), spark plasma sintering (SPS), and hot-rolling techniques. The results show that MWCNTs are uniformly dispersed in the zinc matrix and a tight interface is formed between the MWCNTs and the zinc matrix. As the content of the MWCNTs increases, the mechanical properties of the MWCNTs/Zn composites gradually increase. The Cu-coated MWCNTs/Zn composites have higher mechanical properties than uncoated Cu. 3 vol% Cu-coated MWCNTs/Zn composite has a highest ultimate tensile strength of 281 MPa, but the elongation is only 4%. Load transfer effect and fine grain strengthening are two main strengthening mechanisms of MWCNTs/Zn composites. This research provides a new method for the design and preparation of MWCNTs/Zn composites.