Conductive polymer nanocomposites have been developed for potential uses in electrostatic discharge and electromagnetic interference shielding. Although high filler loadings improve electrical conductivity, there are potential problems originating from elevated melt viscosity, poor appearance and contamination by fillers sloughed off from the surface as well as high material cost. Among various strategies, the localization of graphene at the interface of polymer blends has emerged as a promising way to reduce the percolation threshold. We investigated two approaches to the interfacial localization of graphene nanosheets in co-continuous high density polyethylene (HDPE)/polylactic acid (PLA) blends prepared by melt compounding. First, localization of graphene at the interface of HDPE/PLA blends was achieved by controlling kinetic factors. Three different mixing sequences were carried out by (i) mixing HDPE, PLA and graphene at the same time, (ii) diluting pre-mixed HDPE/graphene nanocomposites with PLA, and (ii) diluting pre-mixed PLA/graphene nanocomposites with HDPE. In the case of (iii), a very low percolation threshold (∼ 0.05 vol%) was achieved by migration of graphene from PLA to the interface. On the other hand, mixing sequences (i) and (ii) gave percolation thresholds around 0.5 vol%, as expected for preferential localization of graphene in the HDPE phase; the percolation threshold of HDPE/graphene nanocomposites is 1 vol% and the blend was 50/50 by volume. In our second approach, polystyrene (PS) was added as a third component to HDPE/PLA binary blends. In HDPE/PLA/PS ternary blends (45/45/10 or 40/40/20 by volume), PS layer was located between HDPE and PLA phases and exists as a thin, continuous interfacial layer. When graphene meets the interface of HDPE/PS or PLA/PS, it was predicted that it prefers being in PS phase or at the interfaces, which implies graphene will be kept in the PS layer during melt compounding. To demonstrate our prediction, PS and graphene were pre-mixed then diluted with HDPE and PLA to fabricate HDPE/PLA/PS/graphene nanocomposites. Graphene was found to be localized in the PS layer only, and the percolation threshold was reduced to 0.1∼0.2 vol% accordingly. Relying on these experimental results along with thermodynamic calculations, we suggest general ways to achieve high electrical conductivity from co-continuous polymer blends.