We report on the experimental observation of dual-wavelength soliton and the phase-locked bound state in an all-fiber laser mode-locked by a carbon nanotubes/microfiber saturable absorber. The operation wavelengths are strongly dependent on the intracavity loss. By adjusting an attenuator to increase the intracavity loss, mode-locking wavelength shifts from 1557 to 1531nm. With the appropriate pump power and intracavity loss, dual-wavelength solitons are achieved simultaneously. In addition, the phase-locked bound-state solitons are also observed at the two wavelengths. The pulse separation and phase difference are related to the first-order Kelly sidebands.