Binary and ternary composites composed of polystyrene (PS), styrene–butadiene rubber (SBR), and synthetic boehmite alumina (BA) were produced by water-mediated melt compounding technique. SBR latex and/or aqueous BA suspension was injected into the molten PS in a twin-screw extruder to prepare toughened and/or reinforced polymer composites. The dispersion of the BA (two fractions with different mean particle sizes) and SBR was studied by scanning- and transmission electron microcopy techniques (SEM and TEM, respectively), and discussed. The mechanical properties of the composites were determined in static tensile, Charpy impact and short-time stress relaxation tests (performed at various temperatures). It was found that BA was mostly embedded in the SBR phase in the ternary PS/SBR/BA composite. BA incorporation increased the stiffness and tensile strength and reduced the elongation at break and impact toughness. Effect of the BA particle size was most pronounced in the tensile mechanical and stress relaxation tests. Additional incorporation of BA in the PS/SBR blend enhanced the tensile modulus and stress relaxation modulus compared to the PS/SBR blend. Relaxation master curves were constructed by applying the time–temperature superposition (TTS) principle. It was established that the inverse of the Findley power law model was fairly applicable to the stress relaxation results.