Polypropylene (PP) was blended with ethylene-propylene-diene terpolymer (EPDM) and calcium carbonate nanoparticles (nano-CaCO3), where all the components were in different initial mixing states, i.e., all in solid (solid blending composite), nano-CaCO3 and EPDM first forming solid master batch, then being mixed with solid PP (master batch blend composite) and all in melt (melt blending composite). The phase morphology, especially the distribution of nano-CaCO3, and mechanical properties of the resultant composites and their dependence on the initial mixing states of the components were studied systematically. Morphological observation revealed that essentially different from the respectively dispersed morphology of nano-CaCO3 particles and EPDM phase in the PP matrix in the solid blending composite, abundant well-dispersed nano-CaCO3 particles concentrating around EPDM phase in the melt blending composite. Due to the cavitation initiated by the debonding and the fibrillation present at interface as a result of well-dispersed nano-CaCO3 particles, its impact strength was pronouncedly enhanced, increasing 280 % compared to PP/EPDM composite. Our work paves the way to obtain high-performance PP composites.