The terahertz dielectric properties of multiwalled carbon nanotube/polyethylene (MWCNT/PE) composites prepared in different ways and with various contents of carbon nanotubes have been measured by terahertz time-domain spectroscopy. The experimental dielectric susceptibilities were modeled within effective medium approximation. The MWCNTs with average diameter of 9 nm produced by ethylene decomposition over FeCo catalyst were used in the experiments. Two types of composites were prepared by various mechanical mixing of MWCNT and polyethylene powders. The other two types of composites were fabricated employing ethylene polymerization on the MWCNTs before mechanical mixing with polyethylene powder. The samples with MWCNT concentration of 0.1, 0.5, 1 and 4 wt. % were prepared for each composite type. The measured dielectric susceptibilities were higher for composites made of nanotubes with preliminary polymerization of ethylene as compared to the composites produced by just mechanical mixing at equal concentrations of MWCNTs. It was also found that the dielectric susceptibilities of the MWCNT/PE composites can be satisfactory described within Maxwell-Garnett effective medium approximation at sufficient levels (>0.5-1 wt. %) of MWCNT contents. The obtained results confirm the possibility to produce MWCNT/PE composite materials with desired dielectric properties in terahertz range.