Gold nanoparticles supported on multi-walled carbon nanotubes (Au/CNTs) were developed for the selective epoxidation of cyclooctene with oxygen and small amount of tert-butyl hydroperoxide (O-2-TBHP). We found that the Au/CNTs could provide the best combination of selectivity and conversion in comparison with the supported gold catalysts with several other carriers like active carbon, graphite, TiO2, SiO2 and Al2O3. The conversion of cyclooctene and the selectivity to epoxide increased with the amount of TBHP, but both reached almost maxima when the TBHP amount was higher than 5.0 mol% of cyclooctene. The CNTs-supported gold nanoparticles with mean sizes ranging from 3.1 to 15.0 nm could be prepared by using sol-immobilization method. The Au/CNTs catalysts with smaller gold particle size were related to higher epoxide yield, indicating a size effect of gold nanoparticles on the catalytic performance. The results suggested that the epoxidation of cyclooctene over the Au/CNTs with use of O-2-TBHP would be structure-sensitive.