Polymer dielectric composites, which possess high dielectric and loss suppression with excellent mechanical properties, are of crucial importance in practical applications. Herein, high-density polyethylene/nitrile rubber/multiwalled carbon nanotube (HDPE/NBR/MWCNT) composites were fabricated by the dynamic vulcanization (DV) technique. The effect of DV on the structure and properties of HDPE/NBR/MWCNTs was systematically investigated. The results illustrate that the DV technique combines the advantages of the crosslinked phase and melt processability of thermoplastics. With the increase of dicumyl peroxide content, the dielectric permittivity and the mechanical properties clearly increase, due to a better compatibility and dispersibility achieved by DV. More importantly, a continuous decrease of dielectric loss and conductivity are observed with the increase of dicumyl peroxide content. These can probably be assigned to the combination of better dispersion and slower chain mobility of the NBR phase induced by crosslinking.