Ball milling in combination with heat treatment was used to prepare sulfur-based composite cathode materials incorporating multi-walled carbon nanotubes (MCNTs) for Li-S battery. The structure and morphology of the as-prepared cathode materials were characterized by X-ray diffraction (XRD) and scanning electron microscopy (SEM). The effect of MCNT content and binder type on the capacity, cyclability and self-discharge behavior of a sulfur-based cathode were systematically investigated. Results show that the appropriate amount of MCNTs is 5%-8% (w, mass fraction) and the use of β-cyclodextrin as a water-soluble binder to fabricate the cathode results in the best electrochemical performance. When the Li-S battery was half charged at room temperature, there was almost no self-discharge during storage for 30 d. The charging capacity was 687.7 mAh·g-1 during the 1st cycle and 623.8 mAh·g-1 during the 100th cycle for the cathode at a current rate of 0.1C. Therefore, 90.7%of the capacity was retained.