The grafting of poly(ethylene glycol)-block-polyacrylonitrile (PEG-b-PAN) amphiphilic block polymer onto multi-walled carbon nanotubes (MWCNTs) was achieved by combination of coupling reaction and redox radical polymerization. The chemical structure and yield of the resulting grafted polymer were characterized and confirmed by FT-IR and TGA. Transmission electron microscopy (TEM) images clearly indicated that the nanotubes were coated with a polymer layer. The concentrated DMF dispersions of MWCNT-g-(PEG-b-PAN) nanocomposite were stable for months, the viscoelasticity being monitored by rheometer. MWCNT-g-(PEG-b-PAN) hybrid nanocomposite membranes were fabricated by phase inversion in a wet process. The results showed that high concentration of MWCNTs could be dispersed in the polymer matrix. The morphology and surface hydrophilicity characteristics of the membrane could be controlled by the composition of MWCNT-g-(PEG-b-PAN) nanocomposite membrane.