Anisotropic conductive polymer composites (ACPCs) are of great significance; however it is still a huge challenge to prepare ACPCs via a continuous, low-cost but facile method. In this study, a facile “melt extrusion-calendering” method is proposed to prepare ACPCs based on high density polyethylene (HDPE)/carbon nanotubes (CNTs)/polyoxyethylene (PEO) composite system. An alternating microlayered structure with different polymer phases parallel to extrusion direction is developed, and CNTs are selectively localized in HDPE microlayers. Such interesting biphase structure endows the resulting composites with extraordinary anisotropic property. That is, both extrusion direction and width direction show good conductivity but thickness direction is insulative. The conductivity of such ACPCs in extrusion direction exhibits 6 orders of magnitude higher than that in thickness direction. Moreover, the anisotropy can be easily regulated from 104 to 106 by adjusting the stretching ratio. Interestingly, the as-prepared ACPCs can be used as reliable microcircuits interconnection and organic vapor sensor. This study will open the way to the facile preparation of anisotropic conductive nanomaterials and their wide potential applications.