Vast improvement of the capacitance of supercapacitors without sacrificing high power density and cycle performance brings bright application prospect. Here, a novel cobalt hexacyanoferrate/multi-walled carbon nanotubes (CoHCF/MWCNTs) nanocomposite is prepared by a simple and facile approach and further investigated as electrode materials for supercapacitors. The physical properties of as-prepared materials are characterized by XRD, FTIR, Raman and FE-SEM techniques. Furthermore, electrochemical performances of as-prepared materials are investigated by cyclic voltammetry, galvanostatic charge/discharge and electrochemical impedance spectroscopy in 1.0 M Na2SO4 electrolyte. It is shown that as-prepared CoHCF/MWCNTs (25.0 wt% of MWCNTs) nanocomposite based electrode exhibits the best electrochemical performances, including higher specific capacitance/capacity (648.5 F g−1/810.6 C g−1 at 1.4 A g−1), good rate capability (648.5 F g−1/810.6 C g−1 and 436.3 F g−1/545.3 C g−1 at 1.4 A g−1 and 15 A g−1, respectively) and excellent cycling stability (94.3% capacitance retention after 3000 cycles at 2.0 A g−1) in all as-prepared electrodes. The results demonstrate that as-prepared CoHCF/MWCNTs nanocomposite is a promising candidate for electrochemical energy storage.