A powder in sheath rolling method was applied to the fabrication of a carbon nano tube (CNT) reinforced aluminum composite. A 6061 aluminum alloy tube with outer diameter of 31 mm and wall thickness of 2 mm was used as a sheath material. A mixture of pure aluminum powder and CNTs with a volume content of 5% was filled in the tube by tap filling and then processed to an 85% reduction using multi-pass rolling after heating for 0.5 h at $400^{circ}C$. The specimen was then further processed at $400^{circ}C$ by multi-pass hot rolling. The specimen was then annealed for 1 h at various temperatures that ranged from 100 to $500^{circ}C$. The relative density of the 5vol%CNT/Al composite fabricated using powder in sheath rolling increased with increasing of the rolling reduction, becoming about 97% after hot rolling under 96 % total reduction. The relative density of the composite hardly changed regardless of the increasing of the annealing temperature. The average hardness also had only slight dependence on the annealing temperature. However, the tensile strength of the composite containing the 6061 aluminum sheath decreased and the fracture elongation increased with increasing of the annealing temperature. It is concluded that the powder in sheath rolling method is an effective process for fabrication of CNT reinforced Al matrix composites.