This study demonstrates the development of an electrochemical sensor based on β-cyclodextrin/multi-wall carbon nanotubes modified glassy carbon electrode for detecting fat-soluble vitamins (vitamin A, vitamin D3, vitamin E and vitamin K1) in an aqueous media of micellar solutions using voltammetric studies. The linear calibration curves were 8–100, 0.8–60, 0.5–60 and 0.1–20 µM for vitamin A, vitamin D3, vitamin E and vitamin K1, respectively. The optimal conditions for quantitative determination were obtained in a Britton–Robinson buffer at pH 5.0. Moreover, it is found that β-cyclodextrin/multi-wall carbon nanotubes displays high reproducibility and selectivity for the determination of fat-soluble vitamins. The proposed voltammetric method permits the rapid and simple simultaneous electrochemical determination of fat-soluble vitamins. In this study, we used a sample pre-treatment methods, liquid-liquid extraction with hexane. At the end of the study, the proposed approach was applied to the electrochemical simultaneous determination of the mixed pharmaceutical sample and milk sample.