The behavior of a carbon nanotube (CNT) multi-yarn consisting of 30 yarns and coated with a thin layer of polyester is investigated under tensile loading condition. The coated and uncoated CNT multi-yarns are loaded until fracture occurred inside a scanning electron microscope. In situ photographs were undertaken to investigate the helix angle, diameter, yarn twist, and damage and failure mechanisms. The coated CNT multi-yarn has a higher ultimate tensile strength than the uncoated counterpart. The coated multi-yarn fails at a single location and remains tight after the failure. The uncoated yarn fails at multiple locations along its length and also unravels. The adhesive coating adheres to the CNT yarn surface and does not penetrate into the yarn. These results provide insights into how CNT multi-yarn would behave when used as the reinforcement in the nanocomposites.