Composite electrospun fibers were fabricated to develop drug loaded scaffolds to promote bone tissue regeneration. Multi-wall carbon nanotubes (MWCNTs) were incorporated to polylactic acid (PLA) to strengthen electrospun nanofibers. To modulate drug release behavior, different ratios of hydrophilic polyethylene glycol (PEG) were added to composite fibers. Glass transition temperature (Tg) can be reduced by the incorporated PEG to enhance the ductility of the nanofibers. The SEM images and the MTT results demonstrated that composite fibers are suitable scaffolds for cell adhesion and proliferation. Dexamethasone (DEX), an osteogenic inducer, was loaded to PLA/MWCNT/PEG fibers. The surface element analysis performed by XPS showed that fluorine of DEX in pristine PLA fibers was much higher than those of the MWCNT-containing fibers, suggesting that the pristine PLA fibers mainly load DEX on their surfaces, whereas MWCNTs can adsorb DEX with evenly distribution in nanofibers. Drug release experiments demonstrated that the release profiles of DEX were manipulated by the ratio of PEG, and that the more PEG in the nanofibers, the faster DEX was released. When rat bone marrow stromal cells (rBMSCs) were seeded on these nanofibers, the Alizarin Red S staining and calcium quantification results demonstrated that loaded DEX were released to promote osteogenic differentiation of rBMSCs and facilitate mineralized tissue formation. These results indicated that the DEX-loaded PLA/MWCNT/PEG nanofibers not only enhanced mechanical strength, but also promoted osteogenesis of stem cells via the continuous release of DEX. The nanofibers should be a potential scaffold for bone tissue engineering application.