In this study, a series of maleic anhydride-grafted ethylene–propylene–diene rubbers (EPDM-g-MAHs) with different grafting degrees were prepared via the rotary evaporation-assisted melt grafting, which could achieve higher grafting rate and smaller gel content than the traditional melt grafting under the same conditions. Morphological observation, thermal analysis, and rheological measurements confirmed that the interfacial compatibility of the core–shell dispersed phases was enhanced by increasing the composition ratio of EPDM-g-MAH/EPDM or the grafting degree of the prepared EPDM-g-MAHs in the polypropylene (PP) blends. A remarkable improvement in toughness and a little loss in strength and modulus were obtained in the PP blends by regulating the dual interfaces of the core–shell dispersed phases. A new insight into the toughening mechanism of core–shell particles was presented in this work. The balance between toughness and strength could be attributed to the strong dual interfacial interaction of the core–shell dispersed phases, thereby effectively transferring stress. In addition to the conventionally internal cavitation in the rubber phase and the shear yielding of the PP matrix triggered by stress-concentrated dispersed phases, expanded stress field, elongated core phases, and increased cavitation that occurred at dual interfaces by debonding were regarded to contribute to the toughening effect.