Thermally conductive and electrically insulating polymer/boron nitride (BN) composites are highly attractive for various applications in many thermal management fields. However, the preparation methods for polymer/BN composites with prescribed performance have usually caused difficulties in the material post processing. Therefore, using polymer blends with selective localization can be utilized as a solution for this problem. The effect of selective localization of boron nitride (BN) particles on the thermal conductivity of immiscible PA/COC blends is studied. The aim of the present work is to use PA/COC blend with co-continuous morphology in order to produce PA/COC/BN thermally conductive composites with minimum volume fraction of fillers. The efficiency of this method is evaluated through a comparison between thermal conductivity of PA/BN and PA/COC/BN systems. The rheological results and scanning electron microscopy (SEM) images reveal a greater affinity of BN with PA compared to COC phase. It is also shown that in order to form a thermal path and obtain an appropriate thermal conductivity, high concentrations of BN (≥30 wt. %) are needed. Thermal conductivity measurements show that the thermal conductivity of PA/COC/BN composites are lower than what expected based on the mixture law for polymer blends in comparison with PA/BN composites with the same concentration of BN in PA. The cooling rate is found to affect the thermal conductivity of the composite samples which is explained in terms of the crystallinity of PA.