Multiwall carbon nanotube (CNT) reinforced poly(methyl methacrylate) (PMMA) nanocomposites have been successfully fabricated with melt blending. Two melt blending approaches of batch mixing and continuous extrusion have been used and the properties of the derived nanocomposites have been compared. The interaction of PMMA and CNTs, which is crucial to greatly improve the polymer properties, has been physically enhanced by adding a third party of poly(vinylidene fluoride) (PVDF) compatibilizer. It is found that the electrical threshold for both PMMA/CNT and PMMA/PVDF/CNT nanocomposites lies between 0.5 to 1 wt% of CNTs. The thermal and mechanical properties of the nanocomposites increase with CNTs and they are further increased by the addition of PVDF For 5 wt% CNT reinforced PMMA/PVDF/CNT nanocomposite, the onset of decomposition temperature is about 17 degrees C higher and elastic modulus is about 19.5% higher than those of neat PMMA. Rheological study also shows that the CNTs incorporated in the PMMA/PVDF/CNT nanocomposites act as physical cross-linkers.