<p>During drilling, it is difficult for cutting fluids to penetrate the machining area to provide lubrication effectively, leading to various issues with hole machining quality. Therefore, this study proposes using carbon nanotubes (CNTs) loaded with chlorinated paraffin (T301) as an additive to prepare a novel water-based cutting fluid. The composite can release T301 into the drilling area during drilling to provide lubrication. Firstly, the composites were prepared using liquid-phase chemical methods, and then were characterized by TEM and TG/DSC methods. The nanofluid was prepared with composites as an additive, and experiments were conducted on drilling GCr9 steel. The effects of composite concentration and drilling conditions on drilling torque, drilling temperature, drill bit wear, and internal hole roughness were studied to reveal the mechanism of T301 release and the self-lubricating action of the composites. The results show that approximately 24.4% of CNTs were loaded with T301 lubricant, and the composites exhibited good dispersion stability. Compared to ordinary emulsion, the novel nanofluid under MQL conditions reduced drilling torque, drilling temperature, drill bit wear, and internal hole roughness by 31.2%, 29.1%, 21.5%, and 25.8%, respectively. Surface analysis indicated that the lubrication film formed by the release of T301 from CNTs@T301 during drilling provided excellent self-lubrication.</p>