A facile technique was reported for fabricating high conductivity and improved strength of linear low-density polyethylene/multi-walled carbon nanotubes (LLDPE/MWNTs) composite films by the ultrasonication anchoring technique and compression molding treatment. Thermal property, mechanical property, electrical conductivity, microstructures, optical property, and organic vapor sensing behaviors of the MWNTs/LLDPE composite films were studied. The MWNTs are uniformly anchored onto the surface of LLDPE matrix, and the conductive networks are easily formed by the ultrasonication anchoring technique. After compression molding treatment, the incorporation of MWNTs causes an easier formation of LLDPE extended-chain, which is wrapped around of MWNTs shish. The MWNTs/LLDPE composite films exhibit an excellent conductivity of 2.79 × 105 Ω∙cm with 0.15 wt % MWNTs. Meanwhile, the tensile strength of the composite films reaches 18.9 MPa. Interestingly, the transparency is not significantly reduced. The sensitivity and reproducibility of vapor sensing behaviors have been demonstrated during immersion-drying runs toward two representative solvents, i.e., acetone and xylene. This work opens up a new direction for the conductivity optimization of MWNTs/LLDPE composite films with a broad prospect in the field of vapor sensor.