Multi-walled carbon nanotube (MWCNT) dispersed dynamically crosslinked olefin thermoplastic elastomers (D-TPEs) based on polypropylene (PP) /ethylene-propylene-diene copolymer rubber (EPDM) blends were prepared with paraffin (Par)-coated MWCNTs, showing good affinity with the EPDM phase, as reinforcing nanofillers. In particular, focusing on the reinforcement of the crosslinked and unfilled EPDM dispersed phase, we investigated the effects of the phase structure and MWCNT on the mechanical properties of the D-TPEs. In consequence, we suggest that the structure-controlling factors contributing to a notable enhancement in the mechanical properties of the D-TPEs are as follows: (ú@) the refinement of the size of the EPDM phase by compounding zinc dimethacrylate (ZDMA) as a compatibilizer; (úA) preferentially localized dispersion of paraffin-coated MWCNTs in the crosslinked EPDM dispersed phase, contributing to reinforce the EPDM phase, synergistically connected with the controlling factor- (ú@) ; (úB) the reinforcement effects due to the dispersion of ZDMA-derived nanoparticles in the EPDM phase.