The assimilation of highly conductive nanofillers in immiscible polymer blends has shown great potential for various applications. Recent advancements in controlling the location of nanoparticles at the interface of immiscible binary blends have enhanced mechanical and electrical performance of the composites. However, the dispersion, distribution, and localization of the nanoparticles at the interface of immiscible binary blends are considered the principal challenges to determining the mechanical and electrical performance of the composites. This has led to considerable interest in exploiting the location of nanoparticles at the interface of immiscible binary blends for electromagnetic Interference (EMI) shielding applications. This review critically inspects the possible mechanism for locating the nanofillers at the interface and their influence on the electrical conductivity and mechanical properties. Furthermore, numerous strategies, such as covalent modification of nanoparticles, optimizing processing time and sequence of mixing, are highlighted for performance improvement of binary blend nanocomposites. In addition, we reviewed the compatibility of nanoparticles with the polymer matrix at the interface correlation with dispersion and mechanical properties. Finally, some challenges in the development, modification, and location of nanoparticles at the interface of immiscible polymer blend nanocomposites for EMI shielding applications are described.