A facile and feasible electrochemical polymerization method has been used to construct the multi-wall carbon nanotubes@poly(3,4-ethylenedioxythiophene)/poly(styrene sulfonate) (MWCNTs@PEDOT/PSS) core–shell composites with three-dimensional (3D) porous nano-network microstructure. The composites are characterized with Fourier transform infrared spectroscopy, scanning electron microscope, and transmission electron microscopy. This special core–shell nanostructure can significantly reduce the ions diffusion distance and the 3D porous nano-network microstructure effectively enlarges the electrode/electrolyte interface. The electrochemical tests including cyclic voltammetry, galvanostatic charge/discharge measurements, and electrochemical impedance spectroscopy tests are performed, the results manifest the MWCNTs@PEDOT/PSS core–shell composites have superior capacitive behaviors and excellent cyclic stability, and a high areal capacitance of 98.1 mF cm−2 is achieved at 5 mV s−1 cyclic voltammetry scan. Furthermore, the MWCNTs@PEDOT/PSS composites exhibit obviously superior capacitive performance than that of PEDOT/PSS and PEDOT/Cl electrodes, indicating the effective composite of MWCNTs and PEDOT noticeably boosts the capacitive performance of PEDOT-based electrodes for electrochemical energy storage. Such a highly stable core–shell 3D network structural composite is very promising to be used as electrode materials for the high-performance electrochemical capacitors.