Ethylene-α-octene copolymer (POE)/polystyrene (PS) blend pellets with fine particle sizes were prepared by diffusion and subsequent polymerization of styrene in POE pellets through a one-pot procedure. The effects of the amounts of styrene and BPO on PS content, monomer efficiency and monomer conversion were investigated. The blend pellets were characterized by Micro-FTIR and FESEM, showing homogeneous diametrical distributions of PS and particle size. After melt-processing into rods, the average particle sizes are almost doubled, but still in submicron scale. Compared to neat POE rods, the blend rods with PS content higher than 15% exhibit improved tensile modulus and tensile strength without significantly losing ductility, being attributed to the small sizes, complex nature of particles and the existence of POE-g-PS copolymer that result in good interfacial adhesion. POE/PS pellets were compared with the previously reported PP/PS pellets, and the differences between the two systems are attributed to the different morphology of the two matrices: POE is completely amorphous at the diffusion and polymerization temperature, while iPP is semicrystalline. Without efficient impediment of the crystal lamellae in POE pellets, styrene diffuses easily in POE pellets.