In this paper, a carbon coated magnetic nanoparticle (Fe3O4–C) was first synthesized via solvothermal reaction and carbonization of glucose under hydrothermal condition. The electrochemiluminescence (ECL) property of Fe3O4–C was studied, and exhibited a peak at 1.21V. In the goal to amplify the ECL intensity for sensitive detection, a novel coaxial carbon coated magnetic nanomaterial (MWNTs–Fe3O4–C) was synthesized. Fourier transform infrared (FT-IR) spectroscopy, transmission electron microscopy (TEM), thermal gravimetric analysis (TGA), powder X-ray diffraction (XRD) and powder X-ray photoelectron spectrometry (XPS) were applied as powerful tools to characterize and to demonstrate the named nanomaterial. MWNTs–Fe3O4–C showed better ECL property than Fe3O4–C. Furthermore, an ultrasensitive ECL immunosensor based on MWNTs–Fe3O4–C was developed for the determination of carcinoembryonic antigen (CEA). The prepared ECL immunosensor exhibited high sensitivity, good reproducibility, long-term stability, and acceptable precision on the detection of CEA in clinical human serum samples.