A method to fabricate continuous and aligned multiwalled carbon nanotube (CNT)/epoxy composites is presented in this paper. CNT/epoxy composites were made by infiltrating an epoxy resin into a stack of continuous and aligned multiwalled CNT sheets that were drawn from super-aligned CNT arrays. By controlling the amount and alignment of the continuous multiwalled CNT sheets, a CNT/epoxy composite with high content of well-dispersed CNTs can be obtained. Differential scanning calorimetry (DSC) and thermogravimetric analysis (TGA) results show that the thermal stability of these CNT/epoxy composites was not affected by the addition of CNTs. The mechanical properties and electrical properties of the CNT/epoxy composites were dramatically improved compared to pure epoxy, suggesting that the CNT/epoxy composites can serve as multifunctional materials with combined mechanical and physical properties.