Multi-walled carbon nanotubes (MWNTs) grafted with sodium polystyrenesulfonate (NaPSS) were deposited on an interdigitated gold electrode decorated with a layer of positively charged poly(diallyldimethylammonium chloride) by a self-assembly method. Then polyaniline (PANI) was in situ polymerized on the surface of the MWNTs to prepare a composite. The structure and morphology of the composite were investigated by Raman spectroscopy and scanning electron microscopy. The electrical responses of the composite to triethylamine vapor of low concentrations were measured at room temperature. It was found that the composite exhibited a linear response to the vapor in the range of 0.5–8 ppm with the highest sensitivity of ~80%, which is much higher than that of MWNTs and PANI separately, and an obvious synergetic effect was observed. In addition, the detection limit was as low as the ppb level, and reversible and relatively fast responses (t_90%~200 s and ~10 min for sensing and recovery, respectively) were observed. The sensing characteristics are highly related to the gas responses of PANI, and a sensing mechanism considering the interaction of MWNTs and PANI was proposed.