In addition to being a renewable nanomaterial, cellulose nanocrystals (CNCs) exhibit a high specific modulus and are widely used as a reinforcing phase (filler) to improve the mechanical performance of polymeric materials. In these composite systems, the filler-matrix, filler-filler, and matrix-matrix interactions are critical factors that govern the mechanical properties of the composites. Inspired by the idea of combining these three interactions, we design a novel composite system of reducing an end-modified CNC-enhanced thermoplastic elastomer [styrene-butadiene-styrene copolymer (SBS)] with click reaction and bulk cross-linking. The strong linkage between the nanocrystals and SBS (filler-matrix) is first achieved by the thiol-ene click reaction induced by UV irradiation in the liquid compounding process, accompanied by the preservation of surface hydroxyl groups on nanocrystals and therefore the formation of a stable percolation network (filler-filler). The matrix-matrix network is further constructed in the composite by chemical self-cross-linking of bulk SBS with a post-irradiation treatment during molding process. Benefiting from these three strong interactions, a remarkable improvement in mechanical performance is accomplished for the fabricated composite, exhibiting simultaneous increases in strength (239%), modulus (411%), work of fracture (330%), and elongation at break (7%) in comparison with those for the pure SBS material. Finally, the percolation, Halpin-Kardos, and double-network models with three interactions are applied to compare the theoretical and experimental data for mechanical properties and further discuss the enhancing mechanism for the composites.