Monodisperse ZnFe₂O₄ nanoparticles with sizes less than 10 nm have been successfully assembled on multi-walled carbon nanotubes (MWCNTs) by in situ high-temperature decomposition of the precursor iron(III) acetylacetonate, zinc acetate and MWCNTs in polyol solution. A possible formation mechanism was proposed, which suggests that the ZnFe₂O₄ nanoparticles are formed on the surface of MWCNTs through an aggregation thermochemical reaction process between ZnO and γ-Fe₂O₃ subparticles. It was found that the coverage density on the MWCNTs could be easily controlled by changing the concentration of the precursor. As anode materials for Li-ion batteries, the MWCNT–ZnFe₂O₄ nanocomposites showed high rate capability and superior cycling stability with a specific capacity of 1152 mA h g⁻¹, which was much higher than that of ZnFe₂O₄ nanoparticles. The MWCNTs served as good electron conductors and volume buffers in improving the lithium performance of MWCNT–ZnFe₂O₄ nanocomposites during the discharge–charge process. Magnetic measurements showed that the MWCNT–ZnFe₂O₄ nanocomposites are superparamagnetic at room temperature and the magnetization of the samples can be controlled by the reaction conditions. The as-synthesized MWCNT–ZnFe₂O₄ nanocomposites are water dispersible and can be manipulated by an external magnetic field. Therefore, the nanocomposites have significant potential for application in the fields of energy storage, composites, wastewater treatment and biomaterials.