The volatile organic compound (VOC) vapor sensing properties of a novel kind of thermoplastic polyurethane multifilament – carbon nanotubes (TPU–CNTs) composites is studied. And the sensing is based on changes in the electrical resistance of the composites due to vapor contact. The composites were readily obtained by adhering CNTs on the surface layer of TPU by means of simply immersing pure TPU multifilament into CNT dispersion. The uniformly formed nanotube networks on the outer layer of composite multifilament are favorable for providing efficient conductive pathways. The resulting TPU–CNTs composites show good reproducibility and fast response (within seconds) of electrical resistance change in cyclic exposure to diluted VOC and pure dry air. The vapor sensing behaviors of the composites are related to CNT content, vapor concentration, and polar solubility parameters of the target vapors. A relatively low vapor concentration of 0.5% is detectable, and a maximum relative resistance change of 900% is obtained for the composite with 0.8wt.% CNT loading when sensing 7.0% chloroform. It is proposed that both the disconnection of CNT networks caused by swelling effects of the TPU matrix and the adsorption of VOC molecules on the CNTs are responsible for the vapor sensing behavior of TPU–CNTs composite, while the former effect plays the major role.