We prepared several novel, tough, and transparent poly(methyl methacrylate) (PMMA) blends modified with polyrotaxane (PR) and evaluated their physical properties and morphologies. A styrene/methyl methacrylate/maleic anhydride (SMM) copolymer that was miscible with PMMA was used as a reactive compatibilizer to enhance interfacial adhesion between the matrix resin and PR. A twin-screw melt-kneading extruder was used to prepare the polymer blends, and their thermal, morphological, optical, and mechanical properties were characterized. The effect of PR was evaluated by analyzing the deformation behavior of the blends in notched three-point bending tests. A PMMA/PR blend was immiscible and appeared to be a phase-separated system. However, when SMM was added as a compatibilizer, PR was partially miscible and did not form observable PR domains. Viscosity increased, and the glass transition temperature (Tg) of the matrix resin decreased. The surface hardness of a PMMA/SMM/PR blend was only 15% lower than that of PMMA. A 2.5-fold increase in elongation at breakage was observed, and the tensile strength and Young’s modulus decreased by 16%. The PMMA/SMM/PR blend had 60% higher impact strength than PMMA in notched Charpy impact test, which indicated that the balance between stiffness and ductility was excellent. PR served as a starting point for plastic deformation in the PMMA/SMM/PR blend. We found that PR could initiate void and craze formation, even when it was finely dispersed at the nanoscale. The stress-relieving effect of PR was effective when it was tightly bound at the interfaces. The materials obtained in this study are expected to make a significant contribution to reducing the weight of the products by applying them as a replacement for glass.