α-Tocopherol, a natural antioxidant molecule, was physically immobilized on the outer surface of multi-walled carbon nanotubes (CNTs), and the resulting functionalised particles (f-CNTs) were dispersed in ultra-high molecular weight polyethylene aiming at improving its thermo-oxidation resistance. The success of the functionalization was assessed through spectroscopic and thermal analysis, and the influence of the filler on the thermo-oxidative stability of the nanocomposites was investigated through rheological analyses and infrared spectroscopy. We found that the addition of only 1wt.% of f-CNTs brings about a surprisingly high oxidation resistance, with a five/ten-fold increase of the induction time of the degradation phenomena. Rather than to the inherent stabilizing action of the α-tocopherol, such a notable result is believed to be due to its specific chemical interactions with the CNTs, which could exhibit a considerable radical scavenging activity due to the formation of structural defects on their outer surface. The latter represent acceptor-like localized states, which radically improve the thermo-oxidative resistance of the f-CNTs-based polymer nanocomposites.