Hexagonal boron nitride (BN) particle filled immiscible co-continuous PP/PS blends with different mass proportions were prepared. The samples were also treated with annealing at 190oC for 1 hour. The effect of BN loading level and the annealing treatment on the morphology and the thermal conductive property of the PP/PS/BN composites were investigated. It was observed that BN particles distributed partially at the interface of PP/PS and in PP phase. After annealing, the phase size of the composites increased and more BN particles migrate to the interface of PP/PS. The thermal conductivity of the composites increased with increasing content of BN particles. When the content of BN was 5% or 10%, the thermal resistance dominated the thermal conductivity of the composites. PP/BN composites showed the highest thermal conductivity (TC), while the TC of PP/PS/BN composite after annealing treatment was larger than that of the composite without annealing. When the content of BN was higher than 10%, compensation from fillers for the increase in heat conduction was larger than the thermal resistance. At the same filler content, the order of TC of the composites from high to low was: PP/PS/BN composites after annealing treatment, PP/PS/BN composites and PP/BN composites.