This paper reports a study based on a novel concept of ‘self-healing’ coatings applied onto the brittle fibre surface to reduce the stress concentrations and thus to improve the reinforcing efficiency in a composite. The individual E-glass fibres as well as rovings were coated with a carbon nanotube (CNT) reinforced epoxy composite. The tensile strengths were measured for the individual and bundle fibres, which were treated statistically to determine the Weibull parameters and thus to evaluate the notch sensitivity of the fibres with and without coating. The results indicate that the tensile strength of the individual fibre increased by 10% after coating with neat epoxy. Coating with epoxy nanocomposite containing 0.3wt% MWNT further improved the tensile strength. However, increasing the nanotube content was not necessarily beneficial due to the formation of nanotube agglomerates within the matrix. The tensile tests on fibre roving also showed a clear trend of beneficial effect of nanocomposite impregnation on tensile strength. The rovings impregnated with nanocomposite exhibited a more uniform strength distribution and higher strengths than those impregnated with neat epoxy. Changes in prevailing failure mechanisms influenced by the epoxy and nanocomposite coatings are identified.