Connective tissue covering a bundle of muscle fibers is called

perimysium

Explanation.

Perimysium is the name given to the fibrous sheath that surrounds (covers) each bundle of single muscle fibres, the bundle being known as a fascicle.

Each bundle of muscle fiber is called a fasciculus and is surrounded by a layer of connective tissue called the perimysium. Within the fasciculus, each individual muscle cell, called a muscle fiber, is surrounded by connective tissue called the endomysium.