To synergistically improve interfacial and fatigue-resistant performance of carbon fiber/epoxy composites, a transition layer reinforced by oxidized multiwall carbon nanotubes (OCNTs) was built. OCNTs were integrated onto carbon fibers using a continuous electrophoretic deposition method. Results of static and fatigue tests showed that compared with composites without OCNTs, the hierarchical composites not only showed increases of 33.3% in interfacial shear strength, 10.5% in interlaminar shear strength and 9.5% in flexural strength but also acquired 4.5% improvement in residual bending strength retention after fatigue tests. The transition layer detected by energy dispersive X-ray spectroscopy and atomic force microscope in force mode might be responsible for the above improvements. Combined with scanning electron microscopy analysis and ultrasonic C-scan detection, the functions of modified interfacial microstructure were discussed. The enhanced interface could help to reduce stress concentration and lead destructive cracks to spread along multiple paths, enhancing the damage resistance.