Multi-walled carbon nanotubes (MWCNTs) as a secondary reinforcement were incorporated to an epoxy matrix reinforced with ultra-high molecular weight polyethylene (UHMWPE) fibre. To achieve a high level of compatibility with epoxy matrix, both the UHMWPE fibre and MWCNTs were chemically treated with glycidyl methacrylate (GMA) and amino-thiol end radicals via free radical polymerization and click chemistry, respectively. The effects of these treatments on properties of the multi-scale composites, i.e. epoxy consisting of micro (UHMWPE) and nano (MWCNT) size reinforcements, were studied through investigation of micromechanical and macromechanical properties of the composites. Results showed both fibre surface treatment and matrix modification improved fibre-matrix wettability, work of adhesion, interfacial shear strength (IFSS), and tensile properties. Compared with untreated composites e.g., UHMWPE fibre/epoxy, the combination of a low loading of aminated MWCNTs (a-MWCNTs) and GMA-treated UHMWPE fibre in an epoxy resin enhanced work of adhesion, IFSS, tensile strength, and tensile modulus by ∼26.0%, ∼336.1%, ∼67.3%, and ∼35.5%, respectively. Analysis of surface morphology of micro and macro composites were performed by SEM observations, demonstrating that the mechanical interlocking effect along with the covalent bonding at interface are synergistically playing a major role in such significant improvements in composite properties.