The phase structure and dynamic mechanical thermal behaviors of high density polyethylene (HDPE)/hydrogenated petroleum resin P-100/ethylene-octylene copolymer (POE) blends were investigated by utilizing polarized optical microscope (POM), scanning electron microscopy (SEM), transmission electron microscopy (TEM) and dynamic mechanical thermal analysis (DMA). Results of POM and SEM indicated that the structures of the blends had a three-dimensional bi-continuous network. The network size depended on the blend composition: the size decreased with the increasing of HDPE content when it was higher than POE content, but increased when HDPE content was lower than POE content. TEM and DMA results showed that POE existed in two states in the blends: (1) when POE content was lower than HDPE content, POE located in the interface between HDPE and P-100, and (2) when POE content was higher than that of HDPE, POE formed island-sea structure dispersing in HDPE besides covering upon P-100 phase.