A novel sulfur-coated multi-walled carbon nanotubes composite material (S-coated-MWCNTs) was prepared through capillarity between the sulfur and multi-walled carbon nanotubes. The results of the TEM and XRD measurements reveal that S-coated-MWCNTs have a typical core-shell structure, and the MWCNTs serve as the cores and are dispersed individually into the sulfur matrices. The charge–discharge experiments of the lithium/sulfur cells demonstrated that the S-coated-MWCNTs cathode could maintain a reversible capacity of 670mAhg−1 after 60 cycles, showing a greatly enhanced cycle ability as compared with the sulfur cathode with simple MWCNTs addition (S/MWCNTs) and the cathode using sulfur-coated carbon black composite (S-coated-CB). The EIS and SEM techniques were used to define and understand the impact of the microstructure of the composite electrode on its electrochemical performance. Derived from these studies, the main key factors to the improvement in the cycle life of the sulfur cathode were discussed.