We prepared thermoplastic elastomer (TPE) composites in which multiwall carbon nanotubes (MWCNTs) were disentangled and separated. Subsequently, we studied the correlation between the composites' mechanical and thermal properties, and their structures. When the MWCNT concentration in the composite exceeded 13 wt %, the composite's mechanical and thermal properties were improved, and unique properties were exhibited such as swelling in a good solvent. Significant improvement of these properties was hypothesized to be caused by three-dimensional "cell structure" formation in the matrix. Solvent dip tests of the composites and structural analyses of dried samples after the dip tests showed that epoxidized styrene butadiene styrene triblock copolymer (ESBS) matrix combined on the surface of MVVCNTs to form an interfacial phase. The formed three-dimensional continuous structure exhibits a very high elasticity modulus and good heat tolerance, which substantially improves the elasticity modulus and heat tolerance of the ESBS matrix.