In this work, the influence of the interaction between the iron and cobalt-phthalocyanines (FePc and CoPc) and carbon nanotubes (CNTs) used as support in the electroactivity toward oxygen reduction reaction (ORR) in alkaline media has been investigated. A series of thermal treatments were performed on these materials in order to modify the interaction between the CNTs and the phthalocyanines. The FePc-based catalysts showed the highest activity, with comparable performance to the state-of-the-art Pt-Vulcan catalyst. A heat treatment at 400 °C improved the activity of FePc-based catalysts, while the use of higher temperatures or oxidative atmosphere rendered the decomposition of the macrocyclic compound and consequently the loss of the electrochemical activity of the complex. CoPc-based catalysts performance was negatively affected for all of the tested treatments. Thermogravimetric analyses demonstrated that the FePc was stabilized when loaded onto CNTs, while CoPc did not show such a feature, pointing to a better interaction of the FePc instead of the CoPc. Interestingly, electrochemical measurements demonstrated an improvement of the electron transfer rate in thermally treated FePc-based catalysts. They also allowed us to assess that only 15% of the iron in the catalyst was available for direct electron transfer. This is the same iron amount that remains on the catalyst after a strong acid washing with concentrated HCl (ca. 0.3 wt %), which is enough to deliver a comparable ORR activity. Durability tests confirmed that the catalysts deactivation occurs at a slower rate in those catalysts where FePc is strongly attached to the CNT surface. Thus, the highest ORR activity seems to be provided by those FePc molecules that are strongly attached to the CNT surface, pointing out the relevance of the interaction between the support and the FePc in these catalysts.