We combine the specially designed low threshold five-mirror folded cavity, employ the home-made double wall carbon nanotubes (DWCN) as saturable absorber by vertical growth method, and realize continuous mode locking operation in Tm, Ho∶LLF all solid state laser. Absorbed pump threshold is as low as 59 mW under the continuous-wave laser operation, and the light to light conversion efficiency reaches 30.09%. The absorbed pump threshold is increased to 107 mW after DWCN is inserted in the cavity. When the absorbed pump power is higher than 1562 mW, the laser operation gets into a stable continuous mode-locked state, for which the corresponding mode-locked pulse repetition frequency is 100 MHz, and the pulse width is about 515 ps. When absorbed pump power reaches 2 W, the maximum output power is 234 mW, the central wavelength is 1895 nm, and the maximum single pulse energy is 2.34 nJ.