Polystyrene (PS), high-density polyethylene (HDPE), and a triblock copolymer of styrene, butadiene, and styrene (SBS) were melt-mixed and quenched from the melt state into liquid nitrogen, ice water, room-temperature water, and boiling water. Several specimens quenched into liquid nitrogen were annealed at elevated temperatures. The samples that underwent different thermal histories were examined with TEM, and the effects of cooling rate, annealing time, and annealing temperature on the interfacial layer structure were investigated. In the melt-mixed PS/HDPE/SBS blend a mixture of SBS and PS was situated between the PS and PE phases, forming an interfacial layer encapsulating the PE particles. In the sample prepared by quenching the melt into liquid nitrogen, the intel facial layer between the PS and HDPE phases was about 200 nm thick. Two thin SBS layers on the both sides of the interfacial layer were observed. The SBS separated from the PS and PE phases, forming a thinner interfacial layer under slow cooling or annealing conditions. The interfacial layer improved the interfacial bonding of PE to PS; however, the slow cooling rate or the long annealing time resulted in weakening of the bonding between the PE particle and the interfacial layer.