High-energy ball milling was performed on low density polyethylene (LDPE) and isotactic polypropylene (iPP) as well as on 20/80 binary mixture of both polymers. Mechanical alloying was carried out at high pressure with carbon dioxide for a short period. The presence of CO2 avoids oxidative mechano-chemical degradation of polymers and enhances the effectiveness of the milling. The effects of the mechanochemical treatment on the molecular and physical properties of both single polymers and blends of intrinsically incompatible polymers were explored by FTIR spectroscopy, thermal analysis, intrinsic viscosity determination and solvent fractionation. Structural changes on PP and PP/LDPE blend were observed and have a strong dependence on the milling time. Mechanical tests confirm an overall improvement in blend properties by mechanical alloying. Experimental evidences are presented to suggest that CO2 high-energy ball milling causes a self-compatibilization of the blend LDPE-iPP by breaking iPP polymer chains and allowing them to recombine with the neighboring LDPE chains.