Biocomposites of low‐density polyethylene (LDPE) and polypropylene (PP) with 5–40 wt% soy flour (SF) are produced by two‐step single‐screw extrusion (SSE) followed by solid‐state shear pulverization (SSSP). The SSE‐SSSP approach overcomes limitations with melt mixing, e.g poor SF dispersion and degradation, and limitations with single‐step SSSP. Microscopy shows that SF is well dispersed in SSE‐SSSP composites but agglomerated and degraded in melt‐mixed composites. The SSE‐SSSP composites exhibit major improvements in Young's modulus relative to neat polymer, including 74 and 43% increases in 80/20 wt% LDPE/SF and 95/5 wt% PP/SF composites, respectively. Relative to neat polymer, SSE‐SSSP composites exhibit the largest improvements in Young's modulus and best tensile strengths reported for polyolefin/SF composites. Crystallization and viscosity are only slightly affected by SF in the composites. At 20% and higher mass loss, char can result in greater thermo‐oxidative stability of 80/20 wt% polyolefin/SF composites relative to neat polymer.