In situ crosslinking was performed in a polyvinyl chloride (PVC)/high density polyethylene (HDPE) (weight ratio 50/50) blend using a crosslinking system composed of dicumyl peroxide, triallyl isocyanurate and magnesium oxide. The results of selective solvent extraction and scanning electronic microscopy reveal that a semi-interpenetrated network of crosslinked HDPE and uncrosslinked PVC forms during this process and the mechanical properties of the blend are thus improved. However, few PVC molecules are crosslinked and the phase dispersity is not good enough when only crosslinking agents are added. When powdery nitrile rubber (p-NBR) is added simultaneously to the blend, it improves the phase dispersity of PVC and HDPE and at the same time attracts the crosslinking agents to the interfacial layer. In this way, a good synergism between p-NBR and the crosslinking system occurs. A great number of co-crosslinked products (PVC-x-PE) forms which induces remarkable improvements in the interfacial adhesion of two phases and hence the mechanical properties of the blend.