In order to improve the utilisation and performance of anode catalysts in direct methanol fuel cells (DMFCs), functionalised multi-walled carbon nanotubes (MWCNTs) are used as a support for palladium (Pd) nanoparticles synthesised by photochemical reduction. MWCNTs are modified by methylene blue (MB) under ultraviolet light (fuv-MWCNTs), and then Pd nanoparticles are assembled on the fuv-MWCNTs to form composites (Pd/fuv-MWCNTs). The method is green, simple and does not destroy the pristine structure of the MWCNTs. The morphology and structure of prepared composites are characterised by transmission electron microscopy (TEM) and X-ray diffraction (XRD). The results show that Pd nanoparticles with face-centred cubic crystal structure are about 3.9 nm in size, and are uniformly dispersed on the surface of fuv-MWCNTs. X-ray photoelectron spectroscopy (XPS) reveals that N-containing and S-containing groups exist in fuv-MWCNTs. These groups might be active sites for assembly of Pd nanoparticles on the surface of fuv-MWCNTs, and can modify the electronic structure of Pd nanoparticles. Electrochemical experiments indicate that the prepared Pd/fuv-MWCNTs catalyst exhibits excellent catalytic performance. The catalytic activity of Pd/fuv-MWCNTs is 1.94 times higher than that of commercial Pd/C for methanol oxidation in alkaline solution. It indicates that UV irradiation can facilitate MB to functionalise MWCNTs, reinforce the modification of the electronic structure of Pd, and enhance the catalytic activity of Pd/fuv-MWCNTs.