We demonstrate that the incorporation of multi-walled carbon nanotubes (MWCNTs) into a TiO2 active layer contributes to a significant improvement in the energy conversion efficiency of dye-sensitized solar cells (DSSCs). The TiO2–MWCNTs composite electrode has been prepared by a direct mixing method. The presence of both TiO2 (anatase) and MWCNTs has been confirmed by Raman spectroscopy, Raman microscopy and Field-Emission Scanning Electron Microscopy (FE-SEM). The performance of DSSCs using the TiO2–MWCNT composite electrodes is dependent on the MWCNT loading in the electrodes. At optimal conditions, the incorporation of 0.025 wt.% MWCNTs into the conventional working electrode boosts the efficiency by a factor of up to 1.6. The role of MWCNTs in DSSCs has been investigated by the electrochemical impedance spectroscopy. The improvement in energy conversion efficiency is correlated not only with increased photocurrent and electrical double layer capacitance, but also with a decrease in the electrolyte|electrode interfacial resistance and the Warburg impedance. At high MWCNT loading, the conductivity of the electrodes decreases, which may result from the MWCNT agglomeration and the loss of optical transparency.