Nafion is suggested as an efficient assistant in preparing supercapacitor by employing nanoparticles. In this work, using a bi‐additive of 0.10‐mM NaOH + 0.10 g L−1 Nafion, Nafion‐assisted electrophoretic co‐deposition of Bi2O3–multiwalled carbon nanotubes (MWCNTs) coating is successfully realized in ethanol solvent. The capacitance performances of the electrophoretic coatings in 6.0‐M KOH electrolyte are investigated by cyclic voltammetry and galvanostatic charge–discharge techniques. Comparing with Bi2O3 coating prepared with electrophoretic deposition (EPD) by employing other additive (such as polyethyleneimine), the Bi2O3 coating prepared by Nafion‐assisted EPD shows a better capacitance performance. Benefiting from the improvement in coating conductivity caused by MWCNTs, with a small additional amount of 4.0 wt.%, the Bi2O3–MWCNTs coating exhibits an amazing 164% increase of mass‐specific capacitance (473 F g−1 at the current density of 1.0 A g−1) in comparison with pure Bi2O3 coating (179 F g−1 at the current density of 1.0 A g−1). The cyclic stability test exhibits excellent capacitance retention of 88.7% over 3000 cycles at a constant current density of 10.0 A g−1. This work combines the advantages of MWCNTs, Nafion, and EPD to provide a facile route for preparing Bi2O3‐based coating as a high‐performance supercapacitor electrode.