Two types of epoxy composites reinforced with an aligned multi-walled carbon nanotube (MWCNT) sheet and its thermal annealed analog were prepared and the effects of thermal annealing on the mechanical properties of the composites were investigated by conducting uniaxial tensile tests. The MWCNTs with lengths exceeding 1 mm were vertically grown on a Si substrate by chemical vapor deposition method, and were converted to horizontally aligned MWCNT sheets by pulling them out. The MWCNT sheets were then thermally-annealed at 2000℃ under Ar + 5% H_2 atmosphere. The composites containing annealed MWCNTs exhibited higher Young's modulus and tensile strength than those of the composites containing as-received MWCNTs. Uniaxial tensile experiments of individual MWCNTs revealed that thermal annealing led to an increase in Young's modulus, suggesting that the improvement in Young's modulus of the composites may be associated with the increase in the mechanical properties of individual MWCNTs. Young's modulus and tensile strength of the composites containing 22 vol.% annealed MWCNTs reached 94 ± 11 GPa and 474.2 ± 57.7 MPa, respectively.