It was demonstrated that the high mixing efficiency of twin screw extruder (TSE) helped to disperse the ethylene-propylene-diene terpolymer (EPDM) domains in polypropylene (PP) matrix, but could not lead to the uniform distribution of EPDM phase with small sizes because of the thermodynamical immiscibility between PP and EPDM. So supercritical carbon dioxide (Sc-CO2) was environmentally and economically introduced to the twin screw extrusion to assist the melt mixing of PP and EPDM. The scanning electron microscopy photographs showed that co-continuous phase morphology was formed to some extent for the PP/EPDM 60/40 blend prepared with Sc-CO2, especially with 2.5 wt% Sc-CO2. This was the one important reason for that the complex viscosity and storage modulus of PP/EPDM 60/40 blend increased with the increase of Sc-CO2 concentration.