In this context, the in-situ fibrillation technology was employed to fabricate ultra-tough PE matrix reinforced with crosslinked nanoscale EPDM fibrils by UV light, which was used to prevent the droplet break-up phenomenon of EPDM fibrils during reprocessing. To avoid the crosslinking of PE matrix by UV light, benzophenone (BP, photo-initiator), triallyl isocyanurate (TAIC, crosslinking agent), and EPDM were first blended using a twin-screw extruder. Then, the PE/(EPDM/BP/TAIC) was compounded and then was drawn to form fibril-in-fibril structure by spun-bonding. Afterwards, the UV light was applied to crosslink the nano-fibrillated EPDM by activating BP and TAIC. PE composite with 3 wt.% crosslinked EPDM nano-fibrils exhibited pronouncedly enhanced tensile toughness without sacrificing stiffness, compared with pure PE. To further investigate the toughening mechanism, the nano-fibrillar morphology and crystallization behavior, and crystal structure of PE and PE/crosslinked EPDM were characterized by scanning electron microscope (SEM), differential scanning calorimetry (DSC), and X-ray diffraction (XRD), respectively.