The oxygen evolution reaction (OER) is involved in many electrical–chemical energy conversion systems; however, the slow reaction rate of the OER leads to a high overpotential (η) and low energy efficiency. Recently, an extremely low-η OER phenomenon was observed at a carbonaceous Fe–N-doped thin film with enriched step edges on highly oriented pyrolytic graphite and the carbon fiber surface in an alkaline electrolyte, although the activity was limited. In this study, multi-walled carbon nanotubes (MWCNTs) were used as substrates to utilize their high specific surface areas to develop an active OER catalyst. Nanoscale etching of the MWCNT surface was performed by Fe3O4 nanoparticle loading and subsequent heat treatment in an inert atmosphere, followed by acid washing. Afterwards, a carbonaceous thin film containing Fe and N was coated on the surface via sublimation, deposition, and pyrolysis of Fe phthalocyanine (Pc). A roughened surface was observed for the FePc-derived thin film coated on the nano-etched MWCNT, in contrast to the smooth surface observed for the film coated on the MWCNT without nano-etching. The combination of the nano-etching and the thin-film coating enhanced the OER, which was analyzed by parallel Tafel processes.