This paper aimed to explore the mechanical properties of a cement-based material with carbon nanotube (CNT) under drying and freeze-thaw environments. Mercury Intrusion Porosimetry and Scanning Electron Microscopy were used to analyze the pore structure and microstructure of CNT/cement composite, respectively. The experimental results showed that multi-walled CNT (MWCNT) could improve to different degrees the mechanical properties (compressive and flexural strengths) and physical performances (shrinkage and water loss) of cement-based materials under drying and freeze-thaw conditions. This paper also demonstrated that MWCNT could interconnect hydration products to enhance the performance of anti-microcracks for cement-based materials, as well as the density of materials due to CNT’s filling action.