Experimental studies reveal that the simultaneous addition of zinc dialkyl dithiophosphates (ZDDPs) and multi-wall carbon nanotubes (MWCNTs) to a poly-alpha-olefin base oil strongly reduces wear. In this paper, it is shown that MWCNTs promote the formation of an anti-wear (AW) layer on the metal surface that is much thicker than what ZDDPs can create as a sole additive. More importantly, the nanotubes’ action is indirect, i.e., MWCNTs neither mechanically nor structurally strengthen the AW film. A new mechanism for this effect is also proposed, which is supported by detailed tribometer results, friction track 3D-topography measurements, electron diffraction spectroscopy (EDS), and Raman spectroscopy. In this mechanism, MWCNTs mediate the transfer of both thermal and electric energy released on the metal surface in the friction process. As a result, this energy penetrates more deeply into the oil volume, thus extending the spatial range of tribochemical reactions involving ZDDPs.