The unique morphology of thermoplastic vulcanizates (TPVs) reveals a significant correlation between the microstructure and performance, and the development of high‐performance TPV composites for specialized applications has become a current research priority. This study is devoted to developing heat‐ and oil‐resistant TPV composites filled with carbon black (CB) based on hydrogenated acrylonitrile butadiene rubber (HNBR) and thermoplastic polyester elastomer (TPEE) following the masterbatch procedure of dynamic vulcanization. Herein, it focuses on the effects of CB content on the morphology, filler network structure, and properties of the TPV/CB composites. As observed by morphological studies, CB nanoparticles are interconnected and aggregated to form a dual network structure of rubber and CB particles in the composite. With the increasing CB content, it's demonstrated that dual networks have enhanced and shifted to rigid. Consequently, the hardness, thermal stability, and oil resistance of TPV/CB composites are improved, with a 104% elevation in the stress at 300% strain. The flowability in the molten state, toughness (the elongation at break decreased from 690% to 310%), and elasticity deteriorated by oversized (0.5 ~ 1.2 μm) CB agglomerates and rigid rubber particles. This study gives new insight into the microstructure‐properties relationship of TPVs, offering theoretical guidance for fabricating HNBR‐based TPV composites.