The compatibilization of polystyrene (PS)/high density polyethylene (HDPE) blends was achieved by using a (styrene-ethylene/butylene-styrene) tri-block copolymer (SEBS) as a compatibilizer. The blends were prepared by a twin-screw extruder. The mechanical properties of the blends were greatly improved after addition of SEBS, suggesting the compatibilizing role of the tri-block copolymer in the immiscible PS/HDPE system. The morphology of the blends was observed by scanning electron microscopy (SEM). It was found that the copolymer is very efficient in reducing the size of the dispersed phase, and that a co-continuous two-phase structure appears as the content of SEBS increases to 4 wt%. The results of a SEM study of the fracture surfaces of the tensile bars showed that the unmodified and modified blends exhibited different fracture characteristics. The melt rheology of the blends was investigated by capillary rheometry. The melt viscosity of the blends increases after the addition of 4 wt% SEBS. The thermal properties of these blends were measured by a differential scanning calorimeter (DSC). The SEBS content does not affect the glass transition temperature of the polystyrene phase and the melting point of the polyethylene phase in the blends.