In this article, the phase separation in the melt blended polycarbonate (PC) and ethylene propylene copolymer (EPC) has been studied with dynamic mechanical thermal analysis (DMTA) and scanning electron microscopy (SEM). Two glass transition temperatures on the tan curves were detected. This confirms the immiscibility of PC and EPC phases. Different content of multi-walled carbon nanotubes (MWCNTs) were added to the PC/EPC blends and the interfacial adhesion between MWCNTs and PC/EPC blend were shown using transmission electron microscopy (TEM). The MWCNTs were located in the PC phase and at the interfaces of PC and EPC phases. Moreover, the storage modulus (E) of polymer blends was changed by the increasing content of EPC elastomer and MWCNTs. The value of E of PC decreased with an incorporation of EPC. While, along with an addition of MWCNTs in the PC/EPC blends an increase of E was visible. The strong interfacial interactions between the matrix and MWCNTs played the main role in increasing the values of the E of the nanocomposites.