Specific features of formation of composite materials based on polyethylene, multi-walled carbon nanotubes, and cobalt nanoparticles (MWCNT–PE and Co/MWCNT–PE) by in situ polymerization were revealed. The in situ polymerization technique is based on ethylene polymerization on a highly dispersed Ti-containing catalyst supported on the surface of MWCNT and Со/MWCNT. This method ensures uniform distribution of MWCNT and Co/MWCNT in the polyethylene matrix. The effect of MWCNT and Со/MWCNT on the final properties of the composite materials was determined. Introduction of MWCNT into the polyethylene matrix increases the specific electrical conductivity of the material. Such composite materials can be used for preparing concentrates with preset composition for the subsequent preparation of antistatic coatings. Introduction of the Со/MWCNT filler into the polyethylene matrix makes the material paramagnetic owing to Co nanoparticles and allows its use for preparing coatings that efficiently protect from electromagnetic radiation.