In this work, co-continuous blends of two immiscible polymers, polypropylene (PP) and polystyrene (PS) containing multiwall carbon nanotubes (MWCNTs) and PP/MWCNTs composites with different amount of MWCNTs ranging from 0 to 2 wt.% were prepared by melt mixing. These composites were subjected to additional thermal treatments aimed at investigating the effect of PP crystallization on the performance of the composites. The effect of MWCNTs concentration and thermal treatments on PP/PS matrix morphology was investigated by scanning electron microscopy (SEM). The percolation MWCNTs threshold (PT) concentration was greatly reduced by a two-step approach. First, using the co-continuous blend resulted in a 50% reduction of PT compared to PP/MWCNTs composites due to the double percolation phenomenon. Second, with the additional thermal treatments, referred to as slow-cooling treatment (cooling rate 0.5 °C/min), and isothermal treatment (135 °C for 15 min), ultra-low PT values were achieved for the PP/PS/MWCNTs system: 0.06 wt.% of MWCNTs for slow-cooling treatment and 0.08 wt.% of MWCNTs for isothermal treatment. This reduction is attributed to PP crystals’ volume exclusion. These thermal treatments were efficient in reducing the PT without altering the blend morphology.