In this report, networks of carbon nanotubes (CNTs) are transformed into composite yarns by infusion, mechanical consolidation and polymerization of dicyclopentadiene (DCPD). The microstructures of the CNT yarn and its composite are characterized by scanning electron microscopy (SEM), high resolution transmission electron microscopy (HRTEM), and a focused ion beam used for cross-sectioning. Pristine yarns have tensile strength, modulus and elongation at failure of 0.8 GPa, 14 GPa and 14.0%, respectively. In the composite yarn, these values are significantly enhanced to 1.2 GPa, 68 GPa and 3.4%, respectively. Owing to the consolidation and alignment improvement, its electrical conductivity was increased from 1.0 × 105 S/m (raw yarn) to 5.0 × 105 S/m and 5.3 × 105 S/m for twisted yarn and composite yarn, respectively. The strengthening mechanism is attributed to the binding of the DCPD polymer, which acts as a capstan and increases frictional forces within the nanotube bundles, making it more difficult to pull them apart.