In this study, nanocomposites were prepared by melt blending poly (ε-caprolactone) (PCL) with a (polycarbonate (PC)/multi-wall carbon nanotubes (MWCNTs)) masterbatch in a twin-screw extruder. The nanocomposites contained 0.5, 1.0, 2.0, and 4.0 wt % MWCNTs. Even though PCL and PC have been reported to be miscible, our DSC (Differential Scanning Calorimetry), SAXS (Small Angle X-ray Scattering), and WAXS (Wide Angle X-ray Scattering) results showed partial miscibility, where two phases were formed (PC-rich and PCL-rich phases). In the PC-rich phase, the small amount of PCL chains included within this phase plasticized the PC component and the PC-rich phase was therefore able to crystallize. In contrast, in the PCL-rich phase the amount of PC chains present generates changes in the glass transition temperature of the PCL phase that were much smaller than those predicted by the Fox equation. The presence of two phases was corroborated by SEM, TEM, and AFM observations where a fair number of MWCNTs diffused from the PC-rich phase to the PCL-rich phase, even though there were some MWCNTs agglomerates confined to PC-rich droplets. Standard DSC measurements demonstrated that the MWCNTs nucleation effects are saturated at a 1 wt % MWCNT concentration on the PCL-rich phase. This is consistent with the dielectric percolation threshold, which was found to be between 0.5 and 1 wt % MWCNTs. However, the nucleating efficiency was lower than literature reports for PCL/MWCNTs, due to limited phase mixing between the PC-rich and the PCL-rich phases. Isothermal crystallization experiments performed by DSC showed an increase in the overall crystallization kinetics of PCL with increases in MWCNTs as a result of their nucleating effect. Nevertheless, the crystallinity degree of the nanocomposite containing 4 wt % MWCNTs decreased by about 15% in comparison to neat PCL. This was attributed to the presence of the PC-rich phase, which was able to crystallize in view of the plasticization effect of the PCL component, since as the MWCNT content increases, the PC content in the blend also increases. The thermal conductivities (i.e., 4 wt % MWCNTs) were enhanced by 20% in comparison to the neat material. The nanocomposites prepared in this work could be employed in applications were electrical conductivity is required, as well as lightweight and tailored mechanical properties.