This work reports a facile glycerol-assisted solvothermal method for synthesizing hierarchical three-dimensional (3D) wool-ball-like zinc oxide (ZnO) nanostructures and their subsequent modifications with multi-walled carbon nanotubes (MWCNTs) as modifiers for achieving sensitive and selective detection of toxic sulfur dioxide (SO2) gas. Structurally, the as-synthesized 3D wool-ball-like ZnO is assembled of two-dimensional (2D) plate-like structures, which themselves are arranged by numerous small nanoparticles. Furthermore, in this work we observed an interesting new phenomenon in which when a high concentration of MWCNTs is introduced, many small nanorods grew on the surface of the plate-like structures which assemble the 3D wool-ball-like ZnO nanostructures. When evaluated for SO2 detection, the ZnO/MWCNTs (10:1) composite (ZnO:MWCNTs = 10:1) shows a high response of 220.8 to 70 ppm of SO2 gas (approximately three times higher than the response of pure wool-ball-like ZnO) at an optimum operating temperature of 300 °C. Additionally, the composite also displays good stability and selectivity to SO2 with the response to 50 ppm of SO2 being 7-14 times higher than the responses to other tested gases at a similar concentration. The excellent sensing performance of the wool-ball-like ZnO/MWCNTs (10:1) composite is mainly attributed to: (i) the formation of p-n heterojunctions at the ZnO/MWCNTs interfaces, which greatly enhances the resistance changes upon exposure to SO2 gas and (ii) the increased amount of adsorption sites for O2 and SO2 gas molecules owing to the larger surface area of the composite and defects sites generated by the functionalization process of MWCNTs.