Thermoplastic elastomer compositions having excellent flexibility, mechanical properties and extrusion moldability are produced by directly feeding a particulate olefinic copolymer rubber (A) and an olefinic plastic (B) to a continuous kneading extruder to carry out melt kneading and, downstream, feeding an organic peroxide to the extruder to carry out dynamic crosslinking, the ratio of the bulk density of the particulate olefinic copolymer rubber (A) to the bulk density of the olefinic plastic (B) being in the range 0.1 to 0.9.