The in- situ BN/PMMA/HDPE composites with boron nitride (BN) as thermal conductive filler and polymethyl methacrylate (PMMA) and high- density polyethylene (HDPE) as matrix with high thermal conductivity were successfully fabricated by in-situ reactive processing technique. The morphology characterizations of the PMMA/HDPE co-continuous matrix reveal that when the mass ratio of PMMA:HDPE is 9:11, benefiting from the co-continuous matrix and selective dispersion of BN fillers, the composites not only possess superior thermal conductivity, but also display better heat resistance. Specifically, the thermal conductivity results reveal that the thermal conductivity of in-situ BN/PMMA/HDPE with 40% mass fraction of BN could reach 0.92 W/(m · K). It is increased by 283% compared with HDPE, by nearly 20% compared with the BN/PMMA/HDPE composite prepared by simple melt blending method. Meanwhile, the DMA results show that the storage modulus of in- situ BN/PMMA/HDPE reaches up to 5515 MPa, which gains a increase of 46% against the BN/PMMA/HDPE composite prepared by simple melt blending method at the temperature of 40 ℃ and mass fraction of BN of 30%. Furthermore, by DSC and Vicat softening point test, the glass transition temperature (Tg), crystallization temperature (Tc) and Vicat softening temperature of in-situ BN/PMMA/HDPE composites show prominent improvement. Therefore, this study provided a facile method for constructing thermal conductivity and heat resistance composites.