Multi-wall carbon nanotubes reinforced Mg-14Li-1Al composite (MWCNTs/Mg-14Li-1Al) was prepared by the processes of electrophoretic deposition, friction stir processing, and cold rolling. The microstructure and mechanical properties of the composite were investigated. The results show that, the microhardness of the composite is up to HV 84.4, which is 91.38% higher than that of the as-cast matrix alloy (HV 44.1). The yield strength and ultimate tensile strength of the composite are 259 and 313 MPa, which are 135.45% and 115.86% higher than those of the as-cast matrix alloy, respectively, and a high specific strength of 221.98 kN·m/kg is obtained. In the composite, the MWCNTs serve as nucleation particles during the friction stir processing and cold rolling, causing dynamic recrystallization and grain refinement. Furthermore, MWCNTs hinder the movement of dislocations and transfer the load from the matrix alloy, thus improving the strength.