The usage of zinc oxide (ZnO)-based nanostructures in photoelectrochemical (PEC) water splitting has been well investigated yet still in keen exploration for further performance enhancement. Multi-walled carbon nanotubes (MWCNTs)-modified ZnO nanorods were prepared via hydrothermal route followed by simple solution deposition. MWCNTs were self-anchored onto the ZnO nanorods and acted as a hole-attracting phase. The PEC performance of MWCNTs-modified ZnO nanorods, including photocurrent density and photo current conversion efficiency (PCE), was found to be significantly improved compared with unmodified ones. The maximum value of PCE (0.646%), which was 2.1 times higher than that of pristine ZnO nanorods, was achieved with a MWCNTs/ethanol suspension concentration of 0.002 wt%. The performance enhancement is attributed to increasing of light absorption from rougher surface and effective charge carrier transport from the excellent conductivity of the incorporated MWCNTs.