The phase separation of PS/SAN/PPE (polystyrene/acrylonitrile-styrene copolymer/polyphenylene ether) immiscible alloy and the distribution of PPE into the separated phases in the alloy have been studied in detail. The profiles of the loss modulus clearly showed the phase separation, and the structure of the alloy could be designed by the assistance of the viscoelastic information. The immiscible alloy composed of PS, SAN, and PPE showed high distortion temperature, good fluidity, and high flexural strength even in the absence of the compatibilizer. PPE distributed into the two phases and played a role of a compatibilizer. The PS/PPE phase led to the high distortion temperature and the SAN/PPE phase brought about the high mechanical strength. The distribution constant of PPE in PS and SAN phases was measured and showed a constant value (K = 0.50) in the whole region of the alloy composition.