This study investigates the effect of multi-walled carbon nanotubes (MWCNT) on the high strain rate properties of carbon fiber reinforced polymer (CFRP) fabric impregnated with shear thickening fluids (STF). Three GFRP-STF and twelve GFRP-MWCNT/STF composite specimens were conducted using a split Hopkinson pressure bar (SHPB). Spherical silica nanoparticles (20.0 wt%) and polyethylene glycol were used to prepare silicon-based-STF (SiO2/STF). On this basis, MWCNT with 0.4, 0.8, and 1.2 wt% were further used to synthesize the MWCNT/STF, respectively. The SHPB test showed that MWCNT/STF has a more significant strain rate effect, with stress increases of 71.1%, 57.5%, and 26.0% under 3800 s−1, 5100 s−1, and 6100 s−1, respectively. The results also showed that MWCNT significantly improved the yield stress and strain energy absorption of SiO2/STF under a high strain rate. The maximum yield stress increase was 71.1%, and the maximum increase in strain energy absorption was 229.1%. The results of CFRP-MWCNT/STF revealed that MWCNT/STF treatment enhanced the high strain rate impact properties of CFRP-SiO2/STF. The improved effect is up to 27.9%, 133.6%, and 165.7% in yield stress, impact toughness, and energy absorption efficiency, respectively. The mass fraction of MWCNT significantly affects the impact properties of CFRP-MWCNT/STF under high strain rate loading, but this effect decreases with the increase of strain rate. Thus, CFRP-MWCNT/STF is more suitable for application in a high strain rate impact environment than CFRP-SiO2/STF.