A process for producing a thermoplastic elastomer composition, which comprises the steps of: (1) supplying at least an olefin copolymer rubber and an olefin resin to a plasticization-kneading zone of a biaxial extruder, which zone has at least two kneading discs forming a tip clearance of 1% or larger and smaller than 10% of an inner diameter of a cylinder in the biaxial extruder, thereby forming a melt-kneaded product; and (2) supplying an organic peroxide to a dynamically cross-linking zone of the biaxial extruder, which zone (i) is located after the plasticization-kneading zone, and (ii) has at least two kneading discs forming a tip clearance of 1% or smaller of the inner diameter of the cylinder in the biaxial extruder, thereby dynamically cross-linking the melt-kneaded product with the organic peroxide.