Multiwalled carbon nanotubes (MWCNTs) were introduced into poly(methyl methacrylate) (PMMA) and styrene‐acrylonitrile copolymer (SAN) blends by melt mixing in an asymmetric miniature mixer (APAM). A composition of 70 wt% of PMMA and 30 wt% of SAN was mixed to create a co‐continuous morphology. Transmission electron microscopy images of ultra‐microtomed samples (70 nm in thickness) showed selective localization of MWCNTs inside the percolated SAN phase. The occurrence of the double percolation phenomenon resulted in lower electrical percolation thresholds of PMMA/SAN/MWCNT blends molded at high temperatures. Dielectric spectroscopy indicated a higher electrical permittivity for samples that were compression molded at 260°C. Due to the higher affinity of MWCNTs to SAN, there was a migration of MWCNTs into the SAN phase during the melt processing. Conductivity measurements revealed a significant decrease in electrical percolation threshold (0.4 wt%) for PMMA70/SAN30 blends compared with MWCNT‐filled SAN and MWCNT‐filled PMMA (ca. 0.8 wt%). POLYM. COMPOS., 37:1523–1530, 2016. © 2014 Society of Plastics Engineers