According to the present invention, a polyolefin sheet, film or fiber having a high strength and a high modulus can be continuously produced by:feeding an ultra-high-molecular-weight polyolefin powder between a pair of upper and lower endless belts opposed to each other,conveying the polyolefin powder between the endless belts under compression to compression-mold the polyolefin powder at a temperature lower than the melting point of the polyolefin powder, the compression being continuously and smoothly effected, via the endless belts, by a pressing means comprising two sets of rollers which are arranged at the back sides of the endless belts so that each one roller of the two roller sets faces each other and each of which rollers is rotatably supported at the shaft ends by a frame, and thenrolling and stretching the resultant compression-molded polyolefin in this order.