Polystyrene/iron-filled multi-wall carbon nanotube composite films were prepared by solution processing, forge-rolling and stretching methods. Elongated iron carbide nanoparticles formed because of catalytic growth are situated inside the hollow cavity of the nanotubes. Magnetic susceptibility measurements as well as records of isothermal hysteresis loops performed in three perpendicular directions of magnetic field confirmed that the nanotubes have a preferential alignment in the matrix. Strong diamagnetic anisotropy in the composites emerges not only from the MWCNTs but also from the polystyrene matrix. The polymer sticks to the honeycomb lattice through the interaction of the π-orbitals of the phenyl ring and those of the carbon nanotube, contributing to anisotropic diamagnetic response. The contribution of iron nanoparticles to overall magnetic response strongly depends on nanotube concentration in the composite as well as on matrix-filler non-covalent stacking, which influences magnetic interparticle interactions.