Developing co-continuity in a polymer blend determines a multiphase system with enhanced properties which originate from the synergism of its constituents. Filling a blend with nanoparticles is a promising route to guide its morphology and eventually affect the co-continuity transition. We add different kinds of nanoparticles to an HDPE/PEO blend to study how they affect the morphology of the blend as function of their surface properties and form factor. We find that PEO drop size is drastically reduced by particles adsorbed at the HDPE/PEO interface. However, we show that a drastic shifting of the co-continuity threshold may only be achieved when particles affect the rheology of the interface.