This communication reports the first example of precision polyolefin nanoalloys where an exotic immiscible polymer is nanometrically dispersed with stability in a polyolefin matrix in a highly controlled mode. Following the preparation of polypropylene/multiwalled carbon nanotubes nanocomposites (PP/MWCNTs) by in situ Ziegler-Natta polymerization, the hydroxyl groups on the surfaces of individual MWCNTs are used to initiate ring-opening polymerization of epsilon-caprolactone, resulting in PP/poly(epsilon-caprolactone) (PCL) alloy with PCL grafted on MWCNTs. Upon phase formation, the PP/MWCNTs-g-PCL alloys exhibit a unique PCL dispersion morphology, which is stable and solely governed by PCL molecular weight.