The morphological structure and mechanical properties of isotactic polypropylene (PP)/zinc-neutralized sulfonated ethylene propylene diene monomer rubber (Zn-SEPDM)/CaCO3 blends were studied. PP/Zn-SEPDM/CaCO3 blends were prepared through two different sequences. A: Blending PP with Zn-SEPDM, then adding CaCO3; B: Blending Zn-SEPDM with CaCO3, then adding PP. The blending sequence has substantial influence on the mechanical properties. SEM micrographs and X-ray photoelectron spectrometry indicate that the CaCO3 filler is encapsulated by Zn-SEPDM in those blends prepared through sequence B, which caused an extra increase of impact strength.