The present study investigates how the formation of melt-mixed immiscible blends based on PA6/SAN and PA6/PMMA filled with single walled nanotubes (SWCNTs) affects the thermoelectric (TE) properties. In addition to the detailed investigation of the blend morphology with compositions between 100/0 wt.% and 50/50 wt.%, the thermoelectric properties are investigated on blends with different SWCNT concentrations (0.25–3.0 wt.%). Both PA6 and the blend composites with the used type of SWCNTs showed negative Seebeck coefficients. It was shown that the PA6 matrix polymer, in which the SWCNTs are localized, mainly influenced the thermoelectric properties of blends with high SWCNT contents. By varying the blend composition, an increase in the absolute Seebeck coefficient, power factor (PF), and figure of merit (ZT) was achieved compared to the PA6 composite which is mainly related to the selective localization and enrichment of SWCNTs in the PA6 matrix at constant SWCNT loading. The maximum PFs achieved were 0.22 µW/m·K2 for PA6/SAN/SWCNT 70/30/3 wt.% and 0.13 µW/m·K2 for PA6/PMMA/SWCNT 60/40/3 wt.% compared to 0.09 µW/m·K2 for PA6/3 wt.% SWCNT which represent increases to 244% and 144%, respectively. At higher PMMA or SAN concentration, the change from matrix-droplet to a co-continuous morphology started, which, despite higher SWCNT enrichment in the PA6 matrix, disturbed the electrical conductivity, resulting in reduced PFs with still increasing Seebeck coefficients. At SWCNT contents between 0.5 and 3 wt.% the increase in the absolute Seebeck coefficient was compensated by lower electrical conductivity resulting in lower PF and ZT as compared to the PA6 composites.