Nanocomposites of polystyrene (PS) with multi-walled carbon nanotubes (MWNT) were produced by co-rotating twin-screw extruder. Characterization of these materials included scanning electron microscopy (SEM), transmission electron microscopy (TEM) and rheology in order to obtain the information on the dispersion of MWNT in the polymeric matrix. It is found that the MWNT dispersed uniformly through the PS matrix showing no significant agglomeration in the various compositions studied. In addition, we also investigated the thermal properties, glass transition temperature and thermal decomposition behavior as a function of the increasing MWNT content.