Co-continuous polymer blending has emerged into an important route to improve the performance of polymeric materials by synergistically combining distinct physical and chemical properties of different components. Shear thickening fluid, as a special type of non-Newtonian fluid, exhibits unique shear rate hardening characteristics and has good damping properties. Such material may therefore be useful in modifying damping properties of polymers. In this work, continuous blends of polyethylene and silica-PEG gel (a shear thickening gel) were prepared by melt blending, and the processing kinetics and resulting material properties were studied. The process window for formation of such co-continuous blends was determined by referring to the thermal and rheological properties of raw materials and experimentally exploring various blending conditions. An increase of loss tangent under dynamic mechanical analysis was observed on the co-continuous blend compared with neat polymer as control. Impact testing results indicated that these new materials, with further improvement, may find applications in energy absorbing devices.