For the present paper, we prepared MgO/MWCNT/$TiO_2$ photocatalyst by using multi-walled carbon nanotubes (MWCNTs) pre-oxidized by m-chlorperbenzoic acid (MCPBA) with magnesium acetate tetrahydrate $(Mg(CH_2COO)_2cdot4H_2O)$ and titanium n-butoxide $(Ti{OC(CH_3)_3}_4)$ as magnesium and titanium precursors. The prepared photocatalyst was analyzed by X-ray diffraction (XRD), scanning electron microscopy (SEM) and energy dispersive X-ray (EDX) analysis. The decomposition of methylene blue (MB) solution was determined under irradiation of ultraviolet (UV) light. The XRD results show that the MgO/MWCNT/$TiO_2$ photocatalyst have cubic MgO structure and anatase $TiO_2$ structure. The porous structure and the $TiO_2$ agglomerate coated on the MgO/MWCNT composite can be observed in SEM images. The Mg, O, Ti and C elements can be also observed in MgO/MWCNT/$TiO_2$ photocatalyst from EDX results. The results of photodegradation of MB solution under UV light show that the concentration of MB solution decreased with an increase of UV irradiation time for all of the samples. Also, the MgO/MWCNT/$TiO_2$ photocatalyst has the best photocatalytic activity among these samples. It can be considered that the MgO/MWCNT/$TiO_2$ photocatalyst had a combined effect, the effect of MWCNT, which could absorb UV light to create photoinduced electrons $(e^-)$, and the electron trapping effect of MgO, which resulted in an increase of the photocatalytic activity of $TiO_2$.