Rhodium–rhodium sulfide nanoparticles supported on multi-walled carbon nanotubes (CNTs) were synthesized via a multi-step colloid route. The CNTs were first exposed to nitric acid to generate oxygen-containing functional groups, and then treated with thionyl chloride to generate acyl chloride groups. The grafting of thiol groups was subsequently carried out by reaction with 4-aminothiophenol. Colloidal rhodium nanoparticles were synthesized using rhodium chloride as metal source, sodium citrate as stabilizer, and sodium borohydride as reducing agent. The immobilization of the generated colloidal rhodium nanoparticles was achieved by adding the thiolated CNTs to the colloidal suspension. All these steps were monitored by X-ray photoelectron spectroscopy, which disclosed the presence of rhodium sulfide, whereas metallic rhodium was detected by X-ray diffraction, suggesting that the nanoparticles probably consist of a metallic Rh core covered by a sulfide layer. Scanning and transmission electron microscopy studies showed that the diameter of the catalyst particles was about 7 nm even at high Rh loadings. Rotating disc electrode measurements and cyclic voltammetry were employed to test the electrocatalytic activity in the oxygen reduction reaction in hydrochloric acid. Among all the synthesized catalysts with different rhodium loadings (4.3–21.9%), the 16.1% rhodium catalyst was found to be the most active catalyst. In comparison to the commercial E-TEK Pt/C catalyst, the 16.1% catalyst displayed a higher electrochemical stability in the highly corrosive electrolyte, as determined by stability tests with frequent current interruptions.