Deeply fluorinated multi-wall carbon nanotubes (F-MWCNTs) with different diameters are prepared using the mixture of fluorine/nitrogen gas, and the molar ratio of fluorine to carbon is controlled to be approximate to 1. The electrochemical performances of F-MWCNTs are tested as the cathode material in primary lithium battery. The discharge rate of 4C can be applied for these F-MWCNTs and F-MWCNTs with average diameter larger than 50nm can support the high discharge rate up to 5C delivering a maximum power density of 7114.1Wkg−1, associated with a high 1923Whkg−1 energy density. The conductive networks of intimately contacting MWCNTs in nano-scale and the intrinsic fast rate capability of one-dimensional nanostructures account for the high power density of F-MWCNTs. Moreover, F-MWCNTs with larger diameter exhibits better electrochemical performances. Based on the pore size distribution and impedance results, it is proposed that the F-MWCNTs with larger diameters can effectively avoid the surface and networks of F-MWCNTs being blocked by the enlarged LiF crystals, and hence display the better electrochemical performances.