Blends of very low density polyethylene (VLDPE) and high density polyethylene (HDPE) were prepared by melt extrusion. These blends exhibit a tendency to phase segregate when they are slow cooled from the melt. If they are cooled at increasingly faster rates, a finite population of co-crystals can be isolated from the rest of the phase segregated material, indicating that this system is probably miscible in the melt but phase separates during cooling. Transmission electron microscopy observations are consistent with the blend melt miscibility since inter-lamellar mixing was clearly appreciated in the samples examined. Other effects arising from interactions between the polymers were the nucleation of VLDPE rich phase by HDPE rich phase, and a melting point depression of HDPE rich phase caused by a dilution effect exerted by molten VLDPE rich phase. After a successive self-nucleation and annealing thermal fractionation procedure is applied to the blends, phase separation dominates the behavior, although some small fraction of co-crystals was still present.