This review focuses on the most recent progress in understanding mechanical properties of individual carbon nanotubes (CNT), carbon nanotube arrays, random networks, and polymer matrix composites. The key factors that influence the mechanical properties of these new (nano)materials are identified and discussed. The critical issue appears to be the load transfer efficiency; between nanotubes when organized in bundles, ropes, and networks; between matrix and nanotubes in composites. Among the different paths used to increase load transfer, cross-linking by irradiation is emphasized. A particular attention is paid on the role of nanotubes as nucleating agents in polymer composites, initiating the formation of a crystalline polymer sheath that has important consequence on the mechanical properties. The reinforcing element to be considered in that case is not CNT alone but CNT covered with a cylinder of crystalline polymer. Whereas a lot of effort has been focused on the problem of dispersion, it appears that the problem of nanotube-matrix interphase is almost as important. Recent works show that appropriate surface functionalization can be used both to improve dispersion and tailor the interphase. Nanotube surface engineering combined with methods producing oriented nanocomposites should bring exceptional materials in the near future.