Achieving both high energy and power densities for electrochemical capacitors is always one of the greatest scientific and societal challenges. Owing to the outstanding electrochemical performances of transition metal sulfides, especially high theoretical capacities and wide potential windows, they have drawn extensive attention as promising electrode materials for electrochemical capacitors recently. Herein, the Ni–S/MWCNT composite as positive electrode and the Ni–Fe–S/MWCNT composite as negative electrode have been prepared by a hydrothermal method. The Ni–S/MWCNT electrode shows a high specific capacity of 265.6 mAh g−1 at 1 A g−1 and an excellent rate performance, which are attributed to a larger BET surface area and faster charge transfer rate due to an introduction of MWCNTs compared to the pure Ni–S electrode. The Ni–Fe–S/MWCNT electrode also exhibits a good electrochemical performance due to its rich redox reaction and high total pore volume after the integration of MWCNTs. The fabricated Ni–S/MWCNT//Ni–Fe–S/MWCNT asymmetric electrochemical capacitor delivers a high cell potential of 1.7 V, a high energy density of 42.2 Wh kg−1 at a high power density of 3.7 kW kg−1 (even 19.1 Wh kg−1 at 11.9 kW kg−1), and a relatively good cycling stability. Our work may provide an alternative protocol for the fabrication of high-performance electrochemical capacitors.