In this paper, a simple and efficient plasma-enhanced fluorination (PEF) method was developed to prepare CFx cathode materials, and a series of plasma fluorinated multi-walled carbon nanotubes (PFCNT-y) (i.e., y = 300, 330, or 360 °C) were designed to study the thermal effect within PEF process on the structure and thus on the electrochemical properties of PFCNTs. As fluorinated at an appropriate temperature of 300 °C, PFCNT-300 displayed a “core-shell” structure with inner un-fluorinated carbon layers, which provides more diffusion path for ion and electron transfer in Li/CFx batteries. Besides, PFCNT-300 exhibits lower inactive CF2 bonds, more conductive sp2 Cdouble bondC bonds and weaker Csingle bondF bonding than PFCNT-330 and PFCNT-360. PFCNT-300 coin cell displays a specific capacity of 819.3 mAh/g at a current density of 0.1 A/g, coupled with an energy density of 2050 Wh/kg, and a power density of 58,206.0 W/kg at an extra high current density of 30 A/g.