Conductive elastomeric materials of multi-walled carbon nanotube (MWCNT) filled thermoplastic vulcanizate (TPV) based on polypropylene (PP)/ethylene-propylene-diene rubber (EPDM) blends were fabricated via different processing procedures, i.e., one-step and two-step methods, to control strain sensitivity aiming at applications from strain sensors to stretchable conductors. The phase size of cross-linked EPDM could be effectively tuned and the average diameter of EPDM particles was 550 nm for one-step TPV and 230 μm for two-step TPV. Uniform dispersion of MWCNTs in two-step TPV and serious aggregations of MWCNTs in one-step TPV were observed. Both TPVs showed excellent strain-resistance repeatability for 50 tensile and recovery cycles. The one-step-TPV showed a potential to be used as strain sensor due to a high gauge factor (GF) of 1004 at a strain of 100%, while the resistance for the two-step TPV composite was independent with strain even at a strain of 200%, resulting in a stretchable conductor with excellent resistance memory effect. The different strain sensitivity can be explained by the orientation of PP matrix. Moreover, the two-step TPV showed much lower electrical conductivity percolation threshold, 0.65 wt.%. This work provided a simple route to tune the strain sensitivity of MWCNTs filled TPVs based on PP/EPDM blends for applications from strain sensors to highly stretchable conductor through different processing procedures to control the morphologies and MWCNT dispersion.