The reactive compatibilization of immiscible polymers such as high-density polyethylene (HDPE) and poly(ethylene terephthalate) (PET) by interfacial grafting of maleic anhydride (MA) without initiator in the molten state was investigated in this study. Grafting reaction of MA onto HDPE was carried out in a Rheocord HAAKE mixer varying reaction parameters such as the temperature, the shear rate, and the time of reaction. Then, the purified copolymers were characterized by infrared spectrometry and the MA content of HDPE-g-MA copolymers was determined by volumetric titration. It has been shown that thermomechanical initiation is sufficient to reach grafting yield of 0.3 to 2.5 wt % of MA. We studied then the compatibilization of HDPE/PET blends by interfacial grafting of MA. The in situ interfacial reaction leads to the formation of HDPE-g-MA copolymer which acts as a compatibilizer in the blends. The foremost interest of this work is that it provides a simple way of compatibilization of immiscible blends of polyolefin and polyester in one transformation step without using free-radical initiators. The mechanical properties of the blends are strongly improved by the addition of small quantities of MA. The SEM observations of the compatibilized blends show a deep modification of the structure (i.e., enhanced regularity in the nodule dispersion and better interfacial adhesion).