The multi-walled carbon nanotubes (MWCNTs)-anatase composites were prepared by ball-milling method. The influence of milling conditions (dry-milling or wet-milling) on the phases, morphology, dispersion, and electromagnetic wave absorption properties of the samples was studied. After characterization, the results indicated that ball-milling process had little effect on the phase and the grain size of anatase. The dispersion of MWCNTs in MWCNTs-anatase composites for wet-milling was preferable to that for dry-milling. The composites prepared by dry-milling method had an excellent electromagnetic wave absorbing property. The minimum value of RL was −37.3 dB at 6.1 GHz with the thickness of 3 mm, and the effective bandwidth was 6.1 GHz for the thickness in the range of 2–5 mm. Debye relaxation process, eddy current loss, and impedance matching were the main reasons for the electromagnetic wave absorption of the composites. The MWCNTs-anatase composites could be an easy obtained wave absorption materials.