Multi-walled carbon nanotubes were functionalized using in situ generated aryl diazonium and were then used to synthesize polypyrrole/benzenesulfonic functionalized multi-walled carbon nanotube composites (PPy/f-MWCNTs). Transmission electron microscopy (TEM) and scanning electron microscopy (SEM) results indicated that a uniform PPy was successfully coated onto the sidewall of the f-MWCNTs, which was induced by hydrogen bonding. Cyclic voltammetry and galvanostatic charge/discharge measurements results showed that the composite possessed good electrochemical capacitive performance. The composite with m(PPy):m(MWCNTs) of 1:1 had a capacity of 266 F·g-1 at a current density of 1.0 A·g-1, and the utilization of PPy was more than one time higher than polypyrrole/un-functionalized multi-walled carbon nanotube composites (PPy/p-MWCNTs) and pure PPy.