Multi-walled carbon nanotube (MWCNT) filled with poly(arylene ether nitrile) (PEN) (PEN-in-MWCNT) is used as additive to improve the physical performances of PEN matrix. The influences of PEN-in-MWCNT on the crystallization, mechanical, dielectric and thermal properties of PEN are investigated by thermogravimetric analysis (TGA), differential scanning calorimetry (DSC), Fourier Transform Infrared Spectoscopy (FT-IR), dielectric testing, mechanical testing and scanning electron microscope (SEM) observation. The filling of the PEN into the MWCNT is confirmed by transmission electron microscopy (TEM) and scanning transmission electron microscopy (STEM) observation, FT-IR spectra, TGA and DSC curves. TGA results indicate that the mass fraction of PEN filled in the MWCNT is 61.56 wt% and the thermal property of PEN-in-MWCNT is significantly enhanced after the filling of PEN. Comparing with MWCNT, the oxidation temperature of PEN-in-MWCNT increases more than 180 °C. DSC results demonstrate that PEN-in-MWCNT is a better nucleating agent for PEN than MWCNT, as it can promote the crystallinity of PEN at relative lower concentration. When the concentration of MWCNT is 0.5 wt%, the melting enthalpy of the composite PEN-in-MWCNT/PEN5 is 41.13 J/g. The tensile strength of the obtained composite PEN-in-MWCNT/PEN10 enhances by 34% after 1.0 wt% of MWCNT is incorporated. Improved dielectric properties are also observed when PEN-in-MWCNT is incorporated into the PEN matrix. The PEN-in-MWCNT appears to be an excellent additive candidate for PEN.