TiO2/Multi-walled carbon nanotubes (MWNTs) were prepared via a wet chemical route with hydrolysis of titanium salts. The purification and oxidation treatment of MWNTs in concentrated HNO3 solution were conducted to modify the nanotubes. Then the pre-treated carbon nanotubes were added into the titanium salt and in the end the composites were formed. The microstructure of as-prepared TiO2/MWNTs composite was studied by TEM. The samples were calcined at different temperature. By X-ray diffraction (XRD), the phase transformation of nano-structured TiO2 in composites was determined. The photocatalytic activity of samples being calcined at different temperature was studied by using the conversion of methyl orange in aqueous solutions as probe reaction. The influence of the structure on photocatalysis efficiency was discussed. By contrast with that of pure TiO2 nanoparticles, the special structure of TiO2/MWNT composite could remarkably improve the efficiency of the photocatalytic reaction. The results indicated that the excited e- in conduction band of TiO2 might transfer into MWNTs and the possibility of the recombination of e-/h+ pairs decreased.