The conductivity of three types of composites prepared by mechanical melt mixing from polyethylene (PE) and multi-walled carbon nanotubes (MWCNTs) with an average diameter of 9.8 nm and an aspect ratio of ∼3000, 112, 36 is studied. The structure of these composites is investigated by optical and scanning electron microscopies and powder X-ray analysis. Cyclic measurements of current-voltage (I–V) characteristics and the use of a 3-point measurement scheme showed that the current density through the composite is nonlinearly increasing with increasing voltage or upon sequential measurements of I–V characteristics with the same voltage. The results of I–V measurements were used to determine concentration dependences of conductivity and their changes for each type of MWCNTs. It is shown that the percolation threshold determined from the third I–V measurement for MWCNTs in composites prepared by mechanical melt mixing decreases with decreasing aspect ratio of nanotubes from 3000 to 36.