A reactive extrusion process for immiscible polypropylene/polystyrene (PP/PS) blends with peroxides and multifunctional agents in the presence of supercritical carbon dioxide (scCO2) was studied. The PP/PS blends were investigated by rheological measurement, scanning electron microscopy, thermal analyzer, and mechanical testers. The results show that the complex viscosity and the storage modulus of the blends increase with the addition of peroxides and multifunctional agents, which might represent the formation of copolymer during melt processing. From the morphology analysis of the blends, the size of the dispersed PS domain decreases significantly. Moreover, the analysis of the blends also reveals that the use of supercritical carbon dioxide leads to an increase of complex viscosity and a decrease of domain size. It was believed that the use of scCO2 improved the compatibility of the blends. The interfacial tensions of the PP/PS blends were predicted theoretically from the rheological data using the Choi and Schowalter model and the Palierne model. The values of the interfacial tension decreased as the compatibility of PP/PS blends was improved. From the results above, we strongly suggest that the use of supercritical carbon dioxide-assisted reactive extrusion is an effective way to improve the compatibility of the PP/PS blends.