Surface-functionalized multiwall carbon nanotubes (MWCNTs) are incorporated in poly(methyl methacrylate)/styrene acrylonitrile (PMMA/SAN) blends and the pretransitional regime is monitored in situ by melt rheology and dielectric spectroscopy. As the blends exhibit weak dynamic asymmetry, the obvious transitions in the melt rheology due to thermal concentration fluctuations are weak. This is further supported by the weak temperature dependence of the correlation length (ξ ≈ 10–12 Å) in the vicinity of demixing. Hence, various rheological techniques in both the temperature and frequency domains are adopted to evaluate the demixing temperature. The spinodal decomposition temperature is manifested in an increase in the miscibility gap in the presence of MWCNTs. Furthermore, MWCNTs lead to a significant slowdown of the segmental dynamics in the blends. Thermally induced phase separation in the PMMA/SAN blends lead to selective localization of MWCNTs in the PMMA phase. This further manifests itself in a significant increase in the melt conductivity.