Nearly monodisperse magnetite nanoparticles with sizes less than 10 nm have been successfully deposited on multi-walled carbon nanotubes (MWNTs) by in situ high-temperature decomposition of the precursor iron(III) acetylacetonate and MWNTs in polyol solution. The effects of the concentration of the iron precursor on the ultimate nanocomposites characteristics were investigated. XRD, TEM, HRTEM, EDS, and PPMS of Quantum Design were used to characterize the final products. It was found that the sizes of nanoparticles and their coverage density on MWNTs could be easily controlled by changing the concentration of the precursor and the weight radio to MWNTs. A possible formation mechanism of the magnetite–MWNT nanocomposites was suggested. It was concluded that the magnetite nanoparticles formation on MWNTs through an aggregation process of subparticles that is influenced strongly by the presence of polyols. Magnetic measurements showed that the nanocomposites are superparamagnetic at room temperature and the magnetization of the samples is strongly influenced by the reaction conditions. The resulting nanomaterials can be easily dispersed in water and can be manipulated by an external magnetic field. As-synthesized nanocomposites have high potential for applications in the fields of composites, wastewater treatment, sensors, and biomaterials.