Lately, poly(styrene-b-ethylene-co-butylene-b-styrene)/multi-walled carbon nanotubes (SEBS/MWCNT) nanocomposites have been studied because the final material can present interesting properties, and be used in different applications, for example, antistatic coating, EMI shielding, temperature sensor, artificial muscle, flame retardant, etc. MWCNT have remarkable electrical, thermal and mechanical properties, and the block copolymer (SEBS) can provide a specific structure for the final nanocomposite (self-assembled template). In this study, SEBS/MWCNT nanocomposites were obtained by two processes; extrusion and solution casting. Initially, the best processing conditions were investigated; after that, nanocomposites with different concentrations of MWCNT were generated. The samples were characterized by rheological measurements and electrical conductivity. As preliminary results, different morphologies of SEBS were obtained depending on the processing route. By solution, lamellar morphology of SEBS was obtained, whereas by extrusion, cylinder morphology was obtained. The extrusion conditions did not have a significant influence based on storage and loss moduli. By rheological tests, it was possible to infer and study the dispersion state of MWCNT. Different methodologies were applied to investigate the rheological and electrical percolation threshold, for example, power law theory, Van-Gurp Plot, etc. A very low rheological percolation threshold was achieved by tailoring the block copolymer morphology.