In view of water pollutants becoming more complex, both anionic and cationic pollutants need to be removed. The multi-pollutants simultaneous removal is paid more and more attention. Hence, development composite materials for treatment complex wastewater are the aim of this study. In this research, iron–nickel nanoparticles deposited onto aluminum oxide (α-Al2O3) and carbon nanotubes (CNTs) to form nanocomposite materials Fe–Ni/Al2O3 and Fe–Ni/CNTs, respectively, were used as adsorbents. The adsorption capacities of Fe–Ni/Al2O3 and Fe–Ni/CNTs for AO7, HSeO, and Pb2+ were observed to be 5.46, 8.28, 27.02, and 25.6 mg/g, 15.29 and 17.12 mg/g, separately. The composite materials with negative charges were superior in adsorption of anionic pollutants. Using orthogonal experimental design and analysis of variance to co-treat dye AO7, HSeO and Pb2+ in aqueous solutions, seven testing factors were included: (1) adsorbent types, (2) amount of iron, (3) solution pHs, (4) AO7 concentrations, (5) Pb2+ concentrations, (6) HSeO concentrations and (7) reaction time. The experimental results showed that the removal of complex pollutants AO7, HSeO, and Pb2+ on Fe–Ni/CNTs could reach up to 90% in the optimal treatment conditions. When using Fe–Ni/CNTs as the adsorbent, the sorption isothermals were well fitted in the Freundlich isotherm, and R2 could reach up to 0.98.