Formation of single fibres of polymer nanocomposite PVDF-HFP containing MWCNT by Pyro-EHD electrospinning is reported for the first time. Pyro-EHD gives the chance to drawing fibres directly from a viscous polymeric solution containing MWCNT, with respect to classical electrospinning in which highly viscous materials have strong limitation due to the clogging effect. This method allows achieving an electrical conductivity of the fibres considerably higher with respect to the bulk state. The improvement of the electrical conductivity is of one order of magnitude and the electrical percolation threshold is reduced from 2.5 to 0.3 wt%. We also show that the MWCNT are highly oriented in the longitudinal direction of the fibres, producing the improvement in the electrical properties of the composite.