In this work, the synthesis and characterization of a new nanocomposite from carbon nanotubes-graft-polymer (CNTs-g-P) is reported. The products were obtained by the filling of multi-walled carbon nanotubes (MWCNTs) (inner diameter 20–40 nm) with CoFe2O4 magnetic nanoparticles, been grafted with poly (caprolactone). The filling process was carried out by using acid treatment through wet chemistry. The structure and the properties of the new nanocomposite were studied with TEM, VSM, TGA, and spectroscopic techniques.