In this work, the morphological and rheological properties of SAN/PPE blends filled with functionalized multi-walled carbon nanotubes (MWCNT) were investigated. Functionalized MWCNT with polystyrene (PS) were prepared by atom transfer radical polymerization (ATRP). Different molecular weights of grafted PS were achieved by varying the time of polymerization. MWCNT fillers were pre-mixed with SAN by solution casting. The degree of dispersion of MWCNT significantly depended on the miscibility between grafted PS and SAN. A “solid-like” behavior at low frequencies of linear viscoelastic oscillations was observed for SAN melts filled with 2.5 wt% MWCNT. The pre-mixed SAN/MWCNT composites were blended with PPE in the melt by means of a micro-compounder. In SAN/PPE blends, pristine MWCNT with poor dispersibility stayed in the pre-mixed SAN phase. The functionalized MWCNT tended to migrate from the pre-mixed SAN phase to the PPE phase. The extent of migration depended on the molecular weight of grafted polystyrene on the surface of MWCNT. The rheological results showed that MWCNT increase the dynamic moduli G′ and G″ as well as the complex viscosity of SAN/PPE blends. A higher molecular weight of grafted polystyrene effectively reduced the viscosity of PPE and thus led to a decrease of the viscosity of SAN/PPE blends filled with these functionalized MWCNT.