We have investigated the initial transient response of an immiscible polymer blend electrorheological fluid to a step electric field by means of microscopic observations and measurements of the transmitted light intensity and the shear stress. In the absence of shear flow, the transmitted light intensity increased steeply in the early stage after applying a step field, corresponding to the elongation and coalescence of droplets of one polymer dispersed in the other to form bridges along the field. In the presence of shear flow, on the other hand, the increase of transmitted light intensity was followed by that of shear stress. From this fact it was clarified that the stretched structure consisting of elongated droplets and bridges tilt from the direction of the field in addition to the elongation under shear flow, and the electrorheological effect in the early stage should be ascribed to the formation of elongated structures followed by the tilt of them.