Compared with the selective distribution of nanofillers in one phase of an immiscible polymer blend, selective distribution of nanofillers at the interface is proposed to be the ideal scenario to achieve the lowest electrical percolation concentration. For CNTs, which have larger aspect ratios, selective distribution at the interface of immiscible polymer blends is very difficult. This report demonstrates a method to stabilize the selective distribution of CNTs at the interface of an immiscible ternary polymer blend, i.e. polyvinylidene fluoride/polystyrene/high density polyethylene (PVDF/PS/HDPE). This method is accomplished based on a perfect tri-continuous structure in ternary blends with PS phase as the interface layer located at the PVDF and HDPE interface, then because the affinity between CNTs and PS is the strongest, CNTs will be maintained and/or absorbed in the phase of PS, thus achieving selective distribution at the PS layer of the PVDF/PS/HDPE blends. The morphology characterization indicates that a perfect and PS high continuity (>80%) structure cannot be destroyed until CNT content exceeds 1 vol% in PVDF/PS/HDPE blend with a composition ratio of 44/20/36 vol%.The composite shows a ultra lower percolation threshold of 0.025 vol%. This value is 35 times lower than that of PS/CNT composites. Additionally, the value obtained here is the smallest percolation threshold reported for multiphase composites so far. Keywords: Conductivity; CNTs distribution; Quaternary composites; Tri-continuous structure.