An easily separated photocatalyst, magnetic multi-walled carbon nanotubes/cerium dioxide (MMWCNTs-CeO2) nanocomposite, has been successfully prepared by hydrothermal synthesis and subsequent loading of magnetic nanoparticles. The synthesized nanocomposite was characterized by scanning electron microscope, transmission electron microscopy, X-ray photoelectron spectroscopy, powder X-ray diffraction, and vibrating sample magnetometer. The characterization results indicated the successful synthesis of MMWCNTs-CeO2 nanocomposite. Photocatalytic degradation experiments were conducted to evaluate photocatalytic properties of MMWCNTs-CeO2 by using methylene blue (MB) as a model pollutant. After a light irradiation of two hours, relatively high degradation efficiency (97.5%) of MB was achieved by using MMWCNTs-CeO2 nanocomposite as photocatalyst in the presence of H2O2. The incorporation of magnetic nanoparticles could not only facilitate the separation of photocatalyst from the solution after treatment, but also enhance the photocatalytic degradation efficiency. The results of this study suggested that the synthesized MMWCNTs-CeO2 nanocomposite showed an attractive prospect for application in the treatment of organic wastewater.