Alpha cyclodextrin and multi-walled carbon nanotube composites have been synthesized using a simple chemical method. The composites have been investigated of the electrochemical performance in a 1M H2SO4 electrolyte. Cyclic voltammetry and galvanostatic charge and discharge measurements were conducted, resulting in specific capacitance of 3.8 F/g at 0.05 A/g. The power density ranged from 31 to 4552 W/kg and 0.03 to 0.02 Wh/kg for energy density. The specific capacitance retention was more than 80 % of the original capacitance after 500 cycles. Impedance spectroscopy measurement indicates very low equivalence series resistance of 7.39 ohm at 2000 Hz. The equivalence series resistance increases up to 12.1 ohm after cycle test. As the results, the composites have shown very fast power density, but very low energy density for the supercapacitor applications.