In this contribution, composite materials based on magnesium oxychloride cement (MOC) with multi-walled carbon nanotubes (MWCNTs) used as an additive were prepared and characterized. The prepared composites contained 0.5 and 1 wt.% of MWCNTs, and these samples were compared with the pure MOC Phase 5 reference. The composites were characterized using a broad spectrum of analytical methods to determine the phase and chemical composition, morphology, and thermal behavior. In addition, the basic structural parameters, pore size distribution, mechanical strength, stiffness, and hygrothermal performance of the composites, aged 14 days, were also the subject of investigation. The MWCNT-doped composites showed high compactness, increased mechanical resistance, stiffness, and water resistance, which is crucial for their application in the construction industry and their future use in the design and development of alternative building products.