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Interface interactions in multicomponent nanoparticles can affect electromagnetic properties of an absorbing system. In this work, we investigate the electromagnetic response of multi-walled carbon nanotubes (MWCNTs) filled with iron-containing nanoparticles (ICNs) in the terahertz frequency range. MWCNTs with different iron content have been synthesized by aerosol-assisted catalytic chemical vapour deposition method from toluene containing a certain quantity of ferrocene used as a catalyst. According to the x-ray diffraction analysis, encapsulated ICNs were mainly in the form of iron carbide. Thin composite films were prepared from the iron-filled MWCNTs and polymethylmethacrylate (PMMA) by casting and stretching methods. The composites showed an enhanced permittivity and anisotropy in the transmittance spectra when iron content increased. This behaviour was related to the mechanism based on electrical conductivity and polarization of ICNs and ICN/MWCNT interfaces. Since terahertz field penetrates inside MWCNTs, the filling of their cavities can be a way of varying the electromagnetic properties of MWCNT-containing composites.