Multi-walled carbon nanotube (MWNT) thin films have been fabricated by electrophoretic deposition technique in this study. The supercapacitors built from such thin film electrodes have exhibited near-ideal rectangular cyclic voltammograms even at a scan rate as high as 1000mVs−1 and a high specific power density over 20kWkg−1. More importantly, the supercapacitors showed superior frequency response, with a frequency ‘knee’ at about 7560Hz, which is more than 70 times higher than the highest ‘knee’ frequency (100Hz) so far reported for such supercapacitors. Our study also demonstrated that these carbon nanotube thin films can serve as a coating layer over ordinary current collectors to drastically enhance the electrode performance, indicating the huge potential in supercapacitor and battery manufacturing. Finally, it is clear that electrophoretic deposition is a promising technique for massive fabrication of carbon nanotube electrodes for various electronic devices.