Multi-walled carbon nanotube/selenium composites (MWCNT/Se) are prepared via a simple solution-based processing strategy using ethylenediamine as the solvent. The selenium nanoparticles in diameter of about 100 nm are homogeneously deposited on the network of multi-walled carbon nanotubes in the composites. Compared with multi-walled carbon nanotube/selenium composites by melt-infusing method (MWCNT/Se-M), the multi-walled carbon nanotube/selenium composites by solution-based process (MWCNT/Se–S) can deliver a much higher initial discharge capacity (645.7 mAh g−1) and a better cycling stability (355.5 mAh g−1 remaining at a rate of 0.5C after 100 cycles). Even at 4C, it still exhibits a reversible capacity of 468.7 mAh g−1. The superior electrochemical properties of multi-walled carbon nanotube/selenium composites via solution-based process could be ascribed to the diminished size of selenium and uniform distribution of selenium nanoparticles in carbon matrix.