Shape memory polymers (SMPs) have occupied an important role in material application, in which the contribution of various fillers on the enhancement of their low mechanical and thermal properties is indispensable. Lots of excellent researches on carbon nanotubes improving comprehensive performance have been accomplished, while few comparative studies about carbon nanotubes with different sizes. In the present study, epoxy shape memory composites of multi‐walled carbon nanotubes/epoxy matrix (MWCNTs/epoxy) were prepared, in which MWCNTs with different sizes modified through epoxidation act as enhancement filler. The results indicated that MWCNTs with smaller size possess an efficient effect on improving mechanical properties, and MWCNTs with larger size achieve higher enhancement on increasing heat resistance as the filler content is low (0.1%, 0.2%). Furthermore, the effect of MWCNTs on shape recovery ratio and shape recovery speed of composites has also been systematically investigated.