The multi-walled carbon nanotubes (MWCNTs) covalently functionalized with poly(2-ethynylpyridine) (MWCNT/P2EP) were prepared in supercritical carbon dioxide as a reaction medium. The activated acetylenic triple bonds of quaternized 2-ethynylpyridinium salts formed at the initial reaction step are susceptible to the consecutive polymerization on the surface of MWCNTs to give P2EP covalently functionalized MWCNTs. The electro-optical and electrochemical properties of MWCNT/P2EP were measured and discussed. The photoluminescence peak was observed at 610 nm corresponding to a photon energy of 2.04 eV. Quasi-solid-state dye-sensitized solar cells (DSSCs) with a SnO2:F/TiO2/N719 dye/solid-state electrolyte/Pt device was fabricated with a MWCNT/P2EP. These devices exhibit power conversion efficiency of 5.33%.