The effect of blending ethylene-α-olefin co-oligomer as a modifier with polystyrene-block-poly[ethylene-co-(ethylene-propylene)]-block-polystyrene (SEEPS) triblock copolymer/polypropylene (PP) compounds was investigated. Compared with mineral oil, ethylene-α-olefin co-oligomer improved the compression set (CS) and the permanent set (PS) of the compound and increased the fracture strength of the compound. Small-angle X-ray scattering (SAXS) measurements showed that the ethylene-α-olefin co-oligomer was localized at the center of the poly[ethylene-co-(ethylene-propylene)](EEP) phase, while the mineral oil was widely distributed in the EEP phase and reached even near the interface between the polystyrene (PSt) phase and the EEP phase. This suggests that, in the case of the ethylene-α-olefin co-oligomer, the stress of the EEP block chain can be kept during the deformation more than in the case of the mineral oil, resulting in the good properties of CS and PS.