In order to improve the thermal shock and ablation resistance of high thermal conductivity carbon/carbon composites, carbon nanotubes (CNTs) were introduced by electrophoretic deposition. After modification, the flexural strength of the composites increases by 53.0% due to the greatly strengthened interfaces. During thermal shock between 1100 °C and room temperature for 30 times, the strength continues to increase, attributed to the weakened interfaces in favor of fiber and CNT pull-out. By introducing CNTs at interfaces, thermal conductivity of the composites along the fiber axial direction decreases and that along the fiber radial direction increases. As the thermal shock process prolongs, since the carbon structure integrity of CNT and matrix in the modified composites is improved, the conductivity increases whatever the orientation is, until the thermal stress causes too many defects. As for the anti-ablation performance, the mass ablation rates of the CNT-modified composites with fibers parallel to and vertical to the flame decrease by 69.6% and 43.9% respectively, and the difference in the mass ablation rate related with fiber orientations becomes much less. Such performance improvement could be ascribed to the reduced oxidative damage and the enhanced interfaces.