Cellulose nanofiber (CNF) is one of natural fibers, and its Young modulus and tensile strength have been estimated close to 140 GPa and at least 2–3 GPa, respectively. As the homogeneous dispersion method of CNF in polymer matrix, the chemical modification of the CNF surface or solvent exchange process are often used. However, the environmental load of these processes is large, and the chemically modified CNF is expensive. In this study, mechanically defibrillated CNF reinforced epoxy resin matrix (Epoxy-CNF) composites with various CNF volume fraction were fabricated. Their tensile modulus and ultimate strength of the epoxy composites were deteriorated by the CNF slurry addition, while the fracture elongation was increased. This can be attributed to the interaction of epoxy and water, concentration of microvoids, and CNF agglomeration. Thus, the reduced water content in Epoxy-CNF composites improves their tensile properties.