A novel multi-walled carbon nanotubes (MWCNTs) dispersive solid phase extraction (d-SPE) method which combined with gas chromatography (GC) coupled with electron capture detector (ECD) was developed for the determination of five pyrethroid pesticides in liquid milk for the first time. The effect of d-SPE conditions on the kinds of sorbent, MWCNTs and magnesium sulfate anhydro mass ratio, and extraction condition were researched, and then, the suitable method was found. Under the optimal conditions, the linear range was from 20 to 500 μg kg−1. The recoveries were from 81.8% to 112.1%, with the corresponding relative standard deviations (RSDs) less than 6%, correlation coefficients from 0.9978 to 0.9990, and limits of detection and quantification from 2.62 to 4.86 μg kg−1 and 8.73 to 16.2 μg kg−1. The proposed method is simple, fast, safe, and has high recovery and sensitivity applicable to analyze pyrethroid pesticides in liquid milk sample.