To enhance the mechanical properties of built-in valve-type magnetorheological dampers, a new magnetorheological fluid (abbreviated as HCMN-MRF) prepared using hydroxylated carbon nanotubes (HCNT)-coated micrometer-sized carbonyl iron particles (CIPs) mixed with nano-sized iron particles (NIPs) was investigated in this study. In order to assess the properties of the coated CIPs and the new MRFs, they were characterized morphologically and tested for performance. Under identical conditions, the HCNT-MRF and the commercial MRF were utilized in a built-in valve-type magnetorheological damper to conduct damping experiments, respectively. The outcomes of both MRF applications were meticulously compared and analyzed to evaluate their performance. It was found that the HCNT-coated CIPs exhibited a high saturation magnetization strength of 218 emu/g, and the new MRFs containing NIPs all have a sedimentation ratio of less than 25%. In addition, by applying the new MRF and the commercial MRF to the damper, the damper using the new MRF achieves a maximum damping force of 1505 N, which is significantly higher than the maximum damping force of 1005 N produced by the commercial MRF in the same damper, and for currents less than 2 A, the adjustable coefficients obtained with the new MRF are greater than those obtained with the commercial MRF, with a maximum adjustable coefficient of 3.2.