This paper concerns the disturbance rejection problem of a linear complex dynamical network subject to external disturbances. A dynamical network is said to be robust to disturbance, if the H∞ norm of its transfer function matrix from the disturbance to the performance variable is satisfactorily small. It is shown that the disturbance rejection problem of a dynamical network can be solved by analysing the H∞ control problem of a set of independent systems whose dimensions are equal to that of a single node. A counter-intuitive result is that the disturbance rejection level of the whole network with a diffusive coupling will never be better than that of an isolated node. To improve this, local feedback injections are applied to a small fraction of the nodes in the network. Some criteria for possible performance improvement are derived in terms of linear matrix inequalities. It is further demonstrated via a simulation example that one can indeed improve the disturbance rejection level of the network by pinning the nodes with higher degrees than pinning those with lower degrees.