In this paper, self-sensing cemented soil composites were prepared using multi-walled carbon nanotubes and nano-magnetite as conductive fillers. The effects of mono-doped and co-doped multi-walled carbon nanotubes and nano-magnetite on the early mechanical properties, electrical properties, and self-sensing properties of the cemented soil composites under different forms of loading were investigated. The influence mechanism of multi-walled carbon nanotubes and nano-magnetite on the cemented soil composites was explored by scanning electron microscopy. The results indicate that the incorporation of nano-magnetite has the potential to enhance the early mechanical properties of cemented soil composites. While multi-walled carbon nanotubes enhance the integrity of the conductive network within the cementitious soil, they also mitigate the influence of the polarization effect. The dispersion of multi-walled carbon nanotubes in cemented soil composites can be enhanced through the co-doped multi-walled carbon nanotubes and nano-magnetite, thereby increasing its electrical conductivity. Furthermore, the co-doped multi-walled carbon nanotubes-nano-magnetite not only enhances the stress sensitivity of the cemented soil composites but also sustains a favorable linear relationship between cracks and electrical resistance changes, thereby facilitating more precise and comprehensive crack monitoring.