Considering that multiwalled carbon nanotubes (MWCNTs) can be used as anisotropic and stiff nano-objects acting as minority physical cross-linking points dispersed in soft polymer grafting matrixes, a series of copolymer-grafted multiwalled carbon nanotube composite thermoplastic elastomers (CTPEs), MWCNT-graft-poly(n-butyl acrylate-co-methyl methacrylate) [MWCNT-g-P(BA-co-MMA)], with minor MWCNT contents of 1.23.8 wt % was synthesized by the surface-initiated activators regenerated by electron transfer for atom-transfer radical polymerization (ARGET ATRP) method. Excellent dispersion of the MWCNTs in the CTPEs was demonstrated by SEM and TEM, and the thermal stability properties and glass transition temperatures of the CTPEs were characterized by thermogravimetric analysis (TGA) and differential scanning calorimetry (DSC), respectively. Mechanical property test results demonstrated that the CTPEs exhibit obviously enhanced mechanical properties, such as higher tensile strength and elastic recovery, as compared with their linear P(BA-co-MMA) copolymer counterparts. The microstructural evolutions in the CTPEs during tensile deformation as investigated by in situ small-angle X-ray scattering (SAXS) revealed the role of the MWCNTs, which can provide additional cross-linking points and transform soft elastomers into strong ones.