In this work, we prepared activated multi-walled carbon nanotubes/polyacrylonitrile (A-MWCNTs/C) composites by film casting and activation method. Electrochemical properties of the composites were investigated in terms of serving as MWCNTs-based electrode materials for electric double layer capacitors (EDLCs). As a result, the A-MWCNTs/C composites had much higher BET specific surface area, and pore volume, and lower volume ratio of micropores than those of pristine MWCNTs/PAN ones. Furthermore, some functional groups were added on the surface of the A-MWCNTs/C composites. The specific capacitance of the A-MWCNTs/C composites was more than 4.5 times that of the pristine ones at 0.1 V discharging voltage owing to the changes of the structure and surface characteristics of the MWCNTs by activation process.