The transfer phenomenon of multi-walled carbon nanotubes (MWCNTs) in immiscible polymer pairs of polycarbonate (PC) and polyethylene (PE) is investigated. It is found that MWCNTs immigrate from PE to PC, when laminated sheets composed of PE with MWCNTs and neat PC are annealed at the temperature above the melting points of both polymers. This interphase transfer is attributed to the difference in the interfacial tension with the aid of Brownian motion. In contrast, the MWCNTs are detected to be selectively localized in the PE phase in the blend of PC, PE and MWCNTs, although MWCNTs are firstly compounded in PC. The result demonstrates that MWCNTs transfer from PC to PE, which is the opposite direction to the laminated system. The adsorption of PE on the MWCNT surface indicates the preferential localization of MWCNTs in the PE phase, suggesting that the MWCNT distribution can be controlled by the surface treatment and processing operation.