In this work, the percentage of polyethylene (PE) and polypropylene (PP) blend is controlled at 50:50 to make the composite by forming a co-continuous structure with hexagonal boron nitride (h-BN). The h-BN is wrapped by thermoplastic elastomer styrene-ethylene-propylene-styrene (SEPS). This approach enables the localized distribution of h-BN at the interface of the co-continuous structure of PE/PP blend and SEPS phases, allowing the construction of a heat conduction path in the SEPS phase, thereby improving the thermal conductivity of PE/PP. Theoretical calculation predicted the localized distribution of SEPS at the interface of the PE/PP blend to form a co-continuous composite structure. The thermal conductivity of the composites can be improved by 57.7% by adding 10 wt% h-BN, presenting a commercial potential of such composites in certain heat dissipation applications.