The well-designed MWCNTs/MnO2/PPy composites, used as an anode in an asymmetric supercapacitor (ASC), were successfully synthesized via three steps. The scanning electron microscopy (SEM) exhibits that the composites have a special structure which is composed of nanotubes and many particles. To enhance the electrochemical performance of the composites, the redox additive (I-/I2) with 1 mol L−1 Na2SO4 solution is employed as electrolyte. As expected, cyclic voltammetry (CV) and galvanostatic charge-discharge (GCD) tests verify that, in three-electrode system, the specific capacitance can reach 806 F g−1 at the current density of 1 A g−1 with 1 mmol of I2. At the same time, after assembling an asymmetric supercapacitor with active carbon (AC), the maximum energy density and power density of the device is 92.4 Wh kg−1 and 761.9 W kg−1, respectively. The most important thing is that the practical application of MWCNTs/MnO2/PPy composites can be strongly demonstrated by successfully lighting a light-emitting diode.