A process for producing a thermoplastic elastomer composition comprising the step of crosslinking dynamically at least the following components (A) to (C) in the presence of a crosslinking agent: (A) 10 to 50% by weight of an oil-extended ethylene-α-olefin-non-conjugated diene copolymer rubber having a density of 850 to 900 kg/m3, and a Mooney viscosity (ML1+4 100° C.) of 30 to 150, (B) 20 to 60% by weight of an ethylene-α-olefin copolymer having a density of 850 to 910 kg/m3, and a melt flow rate of 0.05 to 80 g/10 minutes measured at 230° C. under a load of 21.18 N, and (C) 20 to 60% by weight of a propylene resin, the total amount of the components (A) to (C) being 100% by weight; and an air-bag cover comprising a thermoplastic elastomer composition produced according to said process.