The introduction of additives in immiscible polymer blends is limited by the affinity of the additive with the different phases of the blend. In this work, we investigate the influence of the addition of oils in a hydrophobic polyethylene-co-octene (PE) / hydrophilic polyethylene oxide (PEO) polymer blend with similar viscosities. Oils of different viscosities and polarities were selected. Using surface tension measurements and microscopy observation of the morphology, we showed that the phase in which the oil stays is mainly driven by surface tension; however, it appears that viscosity influences the mobility of oil through the phases. The introduction of oil also changes the morphology of the blend: polar oils lead to a loss of co-continuity. In a last part, the surface tension gap between the polymer phases is decreased by using polycaprolactone (PCL) instead of PE as the hydrophobic polymer. These results are a first step towards in-situ encapsulation of lipophilic additives in immiscible polymer blends.