The peculiarity of formation of Ziegler-type catalytic systems prepared using organoaluminum (AlR3) and organomagnesium (MgR2) on the surface of multi-walled carbon nanotubes (MWCNTs) was revealed. We have found first AlR3 and MgR2 interact with different sites on MWCNT surface. It was demonstrated by IR spectroscopy that organoaluminum compounds were immobilized on the hydroxyl-containing groups on MWCNT surface. Organomagnesium compounds were immobilized on the topological structural defects of MWCNTs; hydroxyl-containing groups were not required for their immobilization. Further interaction between TiCl4 and organomagnesium compound immobilized on the MWCNT surface yielded a catalyst containing titanium and magnesium chlorides (an analogue of the known titanium–magnesium catalysts), which exhibits an enhanced activity in ethylene polymerization. The effect of polymerization conditions on molecular weight characteristics of polyethylene in the MWCNT/PE composite material produced by in situ polymerization over the catalyst immobilized on the MWCNT surface was studied.