Carbon nanotubes (CNTs) with superior mechanical properties are expected to play a role in the next generation of critical engineering mechanical materials. Crucial advances have been made in CNTs, as it has been reported that the tensile strength of defect-free CNTs and carbon nanotube bundles can approach the theoretical limit. However, the tensile strength of macro carbon nanotube fibers (CNTFs) is far lower than the theoretical level. Although some reviews have summarized the development of such fiber materials, few of them have focused on the controllable preparation and performance optimization of high-strength CNTFs at different scales. Therefore, in this review, we will analyze the characteristics and latest challenges of multiscale CNTFs in preparation and strength optimization. First, the structure and preparation of CNTs are introduced. Then, the preparation methods and tensile strength characteristics of CNTFs at different scales are discussed. Based on the analysis of tensile fracture, we summarize some typical strategies for optimizing tensile performance around defect and tube–tube interaction control. Finally, we introduce some emerging applications for CNTFs in mechanics. This review aims to provide insights and prospects for the controllable preparation of CNTFs with ultra-high tensile strength for emerging cutting-edge applications.