ZnS/MWCNTs composite materials with different concentrations of ZnS were prepared and their third-order nonlinear optical properties were studied through experiments and theoretical analysis. Structure and morphology characterizations of the ZnS/MWCNTs composite materials showed that ZnS quantum dots (QDs) were uniformly attached on the surface of MWCNTs. Third-order nonlinear optical properties of all the MWCNTs samples, ZnS QDs and ZnS/MWCNTs composite materials were measured by using Z-scan technique with a picosecond pulse laser. Experimental results showed that the composite materials always presented saturated absorption properties of MWCNTs and a negative nonlinear refraction effect of ZnS.