The detection of toxic gases including NO2 has a great impact on the environment. To address sustainability issues in many sectors, including the energy sector, there is a demand for efficient technologies. Composites based on multi-walled carbon nanotubes (MWCNTs) and various polymers (polyaniline, poly(p-phenylenediamine, polyamide 6, and the mixtures of polyamide-6 with poly(p-phenylenediamine) were obtained. The samples were investigated using transmission electron microscopy, energy-dispersive X-ray spectroscopy, Fourier transform infrared spectroscopy, X-ray diffraction, Raman spectroscopy, etc. The MWCNT-polymer composites were used for creation of NO2 gas sensors operating at room temperature. It was found that the modification of MWCNTs with polymers makes it possible to enhance the sensor response to NO2 at room temperature by 5–6 times compared to the initial sample. The highest sensor response was achieved for MWCNTs treated with the mixture of polyamide 6 with poly(p-phenylenediamine) (2:1) reaching ΔR/R0 = –13.9% at 10 ppm. Additionally, the samples were tested as electrodes for supercapacitors (3.5 M H2SO4 electrolyte) via cyclic voltammetry. The highest specific capacitance reached by the MWCNT-polymer composites was 141 F g−1 (at 2 mV s−1) compared to 0.3 F g−1 for the untreated sample.