The demands for electrochemical sensor materials with high strength and durability in physiological conditions continue to grow and novel approaches are being enabled by the advent of new electromaterials and novel fabrication technologies. Herein, we demonstrate a probe-style electrochemical sensor using highly flexible and conductive multi-walled carbon nanotubes (MWNT) yarns. The MWNT yarn-based sensors can be fabricated onto micro Pt-wire with a controlled diameter varying from 100 to 300 µm, and then further modified with Nafion via a dip-coating approach. The fabricated micro-sized sensors were characterized by electron microscopy, Raman, FTIR, electrical, and electrochemical measurements. For the first time, the MWNT/Nafion yarn-based probe sensors have been assembled and assessed for high-performance dopamine sensing, showing a significant improvement in both sensitivity and selectivity in dopamine detection in presence of ascorbic acid and uric acid. It offers the potential to be further developed as implantable probe sensors.