The experimental and simulation studies of a wavelength multiplexed mode-locked fiber laser based on Lyot filter effect were demonstrated. An all-fiber Lyot filter and a single-walled carbon nanotube saturated absorber were introduced into a fiber laser to filter the cavity gain spectrum and destroy single transmission mode of the pulse, which multiplexed the pulses at two different center wavelengths for transmission and mode-locking. Finely adjusting the intracavity polarization controller, when the pump power up to 70.4 mW, the dual-wavelength pulses are output with center wavelength of 1 534.2 nm and 1 546.0 nm, wavelength interval of 11.8 nm, repetition rate of 36.64 MHz, and signal-to-noise ratio of about 56.7 dB, respectively. In addition, a numerical simulation model based on the nonlinear Schrdinger equation was established for the numerical study of dual-wavelength mode-locked fiber lasers based on the Lyot filter effect. By the analysis of pulse spectral evolution, it was verified that intracavity gain spectral filtering played an important role in the formation and propagation of dual-wavelength pulses. The study of Lyot filtering effect in wavelength multiplexed fiber lasers could be further extended to realize tunable dual-wavelength generation, which could be applied to multi-scene dual-comb spectral measurement and coherent imaging.