Three different pentacoordinate iron phthalocyanine (FePc) electrocatalysts with an axial ligand (pyridyl group, Py) anchored to multi-walled carbon nanotubes (MWCNTs) are prepared by a microwave method as high performance composite electrocatalysts (FePc–Py/MWCNTs) for the oxygen reduction reaction (ORR). For comparison, tetracoordinate FePc electrocatalysts without an axial ligand anchored to MWCNTs (FePc/MWCNTs) are assembled in the same way. Ultraviolet–visible spectrophotometry (UV–Vis), Raman spectroscopy (RS), and high-resolution transmission electron microscopy (HRTEM) are used to characterize the obtained electrocatalysts. The electrocatalytic activity of the samples is measured by linear sweep voltammetry (LSV), and the onset potential of all of the FePc–Py/MWCNTs electrocatalysts is found to be more positive than that of their FePc/MWCNTs counterparts. X-ray photoelectron spectroscopy (XPS) and X-ray absorption fine structure (XAFS) spectroscopy are employed to elucidate the relationship between molecular structure and electrocatalytic activity. XPS indicates that higher concentrations of Fe³⁺ and pyridine-type nitrogen play critical roles in determining the electrocatalytic ORR activity of the samples. XAFS spectroscopy reveals that the FePc–Py/MWCNTs electrocatalysts have a coordination geometry around Fe that is closer to the square pyramidal structure, a higher concentration of Fe³⁺, and a smaller phthalocyanine ring radius compared with those of FePc/MWCNTs.