The aim of this work is to synthesize a magnetic magnetite/multi-walled carbon nanotube (Fe3O4/MWCNT) catalyst by a method combining co-precipitation and hydrothermal treatments for the efficient removal of diclofenac (DCF) by catalytic wet peroxide oxidation (CWPO). The support (MWCNTs) shows a moderate-large surface area and good adsorption capacity, leading to the improvement of the magnetite (Fe3O4) dispersion on its surface. The response surface methodology (RSM) was applied in order to find out the effect of the reaction parameters on DCF removal, allowing to establish the optimum operating conditions (T = 60 °C, [H2O2]0 = 2.7 mM, [catalyst] = 1.0 g L−1). The optimum CWPO experiment showed an outstanding catalytic activity at non-modified pH solution (6.7), obtaining a 95% of DCF removal after 3 h reaction time; this high efficiency can be attributed to the synergistic effect of the iron-based catalyst with the high quantity of •OH radicals generated on the surface of the catalyst. In addition, the Fe3O4/MWCNT material exhibited good reusability along three consecutive reaction cycles, finding a pollutant removal close to 95% in each cycle of 3 h reaction time. Additionally, a degradation mechanism pathway was proposed for the removal of DCF by CWPO. The versatility of the material was finally demonstrated in the treatment of different environmentally relevant aqueous matrices (a wastewater treatment plant effluent, surface water, and hospital wastewater), obtaining an effective reduction in the ecotoxicity values.