Novel linear low-density polyethylene/poly(methyl methacrylate) (LLDPE/PMMA) pseudo-interpenetrating polymer networks (IPNs) were prepared using supercritical CO2 as a swelling agent. These pseudo-IPNs were formed by the complicated entanglement of the amorphous chain of LLDPE and PMMA chains through controlling the mass gain of PMMA. Small-angle X-ray scattering (SAXS) measurement showed that LLDPE and PMMA were blended at the nanometer level. The thermodynamic miscibility and thermal stability of pseudo-IPNs were evaluated by dynamic viscoelastic analyzer (DVA) and SAXS. The results showed that the LLDPE and PMMA were somewhat thermodynamically miscible, and the structure of LLDPE/PMMA composite with a high mass gain was not easily broken when annealed at temperatures higher than T-m of LLDPE (T-m,T-LLDPE). DVA also showed that they retain high storage modului at temperatures beyond the LLDPE melting transition. Further, the extent of the storage modulus can be controlled through controlling the mass gain of PMMA.