ZnO nanoparticles were successfully coated on the multi-walled carbon nanotubes (MCWNTs) via a sol process using Zn(CH3COO)2·2H2O and treated MWCNTs as raw materials. The as-obtained ZnO–MWCNTs nanocomposites were well characterized using X-ray powder diffraction, scanning electron microscopy, transmission electron microscopy, and Fourier transform infrared spectral studies. The photoluminescence spectrum of ZnO–MWCNTs nanocomposites in the blue peak shows obvious blue-shift for the blue emission compared with that of pure ZnO nanomaterial. The photocatalytic experiments exhibit that the composite has a higher photocatalytic activity than that of both the ZnO nanoparticles and the mechanical mixture of MWCNTs and ZnO.