Reactive compounding of terminally phenolic OH-functionalized polycarbonate (PC) with epoxy-functionalized polymethylmethacrylate (PMMA) prepared by copolymerization with glycidyl methacrylate was investigated. It was spectroscopically demonstrated that a PC/PMMA copolymer was formed during the melt reaction of the functional groups. Zirconium acetylacetonate could catalytically accelerate this reaction. Correlations of the phenomenological (optical and mechanical) properties with the molecular level and mesoscopic (morphological) structure were discussed. By the investigated reactive compounding process, transparent PC/PMMA blends with two-phase morphologies were obtained in a continuous twin-screw extruder, which, for the first time, combined the high transmission of visible light with excellent mechanical performance (e.g., synergistically improved tensile and flexural strength and high scratch resistance). The transparency strongly depended on (a) the degree of functionalization in both PC and PMMA, (b) the presence of the catalyst, and (c) the residence time of the compounding process. The in-situ-formed PC/PMMA copolymer influenced the observed macroscopic properties by (a) a decrease in the interphase tension, leading to improved and stabilized phase dispersion, (b) the formation of a continuous gradient of the polymer composition and thus of the optical refractive indices in a diffuse mesoscopic interphase layer separating the PC and PMMA phases, and (c) an increase in the phase adhesion between PC and PMMA due to mechanical polymer chain entanglement in this interphase.