We developed a new and effective strategy for compatibilizing immiscible polymer blend nanocomposites of polyethylene/high-impact polystyrene/graphite oxide (PE/HIPS/GO) by a combination of solution intercalation and a melt-mixing method. GO was first dispersed in HIPS by a solution-mixing method and then added to melted PE. The effect of variations in the mixing conditions, such as the rotor speed and loading level of the filler, on the morphology and mechanical (tensile) and thermal properties of the nanocomposite blends was investigated using XRD, SEM, TEM and TGA. The morphological study showed that varying the mixing conditions resulted in different states of dispersion and different localizations of the filler. As a result, the ductility of the polymer blends filled with GO was notably increased. The compatibilizing effect of GO results from the fact that GO can minimize the interfacial tension between PE and HIPS if it is localized at the interface. Unlike traditional copolymer compatibilizers, GO can also act as a reinforcing filler in polymer blends, thus remarkably enhancing their mechanical strength and thermal stability.