In this paper, the triple shape memory effects (SMEs) observed in chemically cross-linked polyethylene (PE)/polypropylene (PP) blends with cocontinuous architecture are systematically investigated. The cocontinuous window of typical immiscible PE/PP blends is the volume fraction of PE (v(PE)) of ca. 30-70 vol %. This architecture can be stabilized by chemical cross-linking. Different initiators, 2,5-dimethyl-2,5-di(tert-butylperoxy)-hexane (DHBP), dicumylperoxide (DCP) coupled with divinylbenzene (DVB) (DCP-DVB), and their mixture (DHBP/DCP-DVB), are used for the cross-linking. According to the differential scanning calorimetry (DSC) measurements and gel fraction calculations, DHBP produces the best cross-linking and DCP-DVB the worst, and the mixture, DHBP/DCP-DVB, is in between. The chemical cross-linking causes lower melting temperature (Tm) and smaller melting enthalpy (ΔHm). The prepared triple shape memory polymers (SMPs) by cocontinuous immiscible PE/PP blends with v(PE) of 50 vol % show pronounced triple SMEs in the dynamic mechanical thermal analysis (DMTA) and visual observation. This new strategy of chemically cross-linked immiscible blends with cocontinuous architecture can be used to design and prepare new SMPs with triple SMEs.