In this work, maleic anhydride grafted styrene–ethylene–butadiene–styrene copolymer (SEBS‐g‐MA) and carbon nanotubes (CNTs) were introduced into the immiscible polypropylene/polystyrene (PP/PS) blend. Among the three polymer components, SEBS‐g‐MA has the strongest affinity to CNTs; thus, it exhibits dual effects to adjust the phase morphology of the blends and the dispersion state of CNTs in the blends. The experimental observations obtained from morphology characterizations using scanning electron microscope and transmission electron microscope confirm the selective localization of CNTs at the interface of the immiscible PP/PS blend. As a consequence, largely decreased percolation threshold is achieved when most of CNTs are selectively localized at the interface region between PP and PS. Copyright © 2014 John Wiley & Sons, Ltd.