Multi-walked carbon nanotube (MWCNT)/poly(aryl ether ketone) networks cross-linked by Diels-Alder cycloaddition possess outstanding mechanical and rheological properties. Poly(aryl ether ketone) containing pendant furan (PAEK-Fu) was synthesized, which had excellent thermal and mechanical properties, and a series of cross-linked materials with reversible covalent cross-linked crosslinking network were synthesized through a furan/MWCNTs Diels-Alder (D-A) reaction between PAEK-Fu and MWCNTs. Thermal and mechanical properties for MWCNT/PAEK-Fu composites were studied, and after crosslinking, MWCNT/PAEK-Fu composites exhibited good flexibility and resistance against organic solvents. After heating to 180 °C, the cross-linked MWCNT/PAEK-Fu composite membranes could be dissolved in NMP. This work demonstrates that the poly(aryl ether ketone)s can be made into recyclable thermoset materials using the concept of associative dynamic bonding. Given the dramatically increasing interest in environmentally sustainable materials, this MWCNT/poly(aryl ether ketone) interaction mode provides a robust approach to high performance engineering plastics with improved performance compared with the thermoplastic counterparts.