There have been much research on carbon nanotubes (CNTs) modified cement-based materials. However, few studies utilized multi-walled CNTs (MWCNTs) to prepare the ultra-high strength concrete (UHSC). This study aims to discover a new UHSC reinforced by MWCNTs and reveal the enhancement mechanism of MWCNTs. In this study, the mechanical properties of UHSC with different contents of MWCNTs (both dispersed and undispersed) were tested. The element distribution and microstructure of UHSC were observed by energy-dispersive spectrum (EDS) and scanning electron microscopy (SEM). In addition, the pore structures of UHSC were exhibited through X-ray CT images. The result shows that the compressive strength and flexural strength of UHSC reached the maximum value with the addition of 0.1 wt% dispersed MWCNTs. The dispersed aqueous solution of 0.1 wt% MWCNTs can be uniformly distributed in the UHSC matrix, and MWCNTs can fill the initial defects and bridge the microcracks inside the UHSC. Moreover, with the addition of 0.1 wt% dispersed MWCNTs, the number of pores decreased by 59.98%, and the porosity of UHSC decreased by 14.41%. The expectation of this study is to provide a reference for the better preparation of UHSC.