In this work, we propose, for the first time, a simple, fast, and efficient strategy to fabricate high-performance rigid crosslinked PVC composites by continuous extrusion. This strategy improves the poor processing fluidity of composites and solves the impossibility of conducting extrusion in one step via using microcapsule-type crosslinking agents prepared by in situ polymerization to co-extrude with PVC blends. The results demonstrate that the PVC/microcapsule composites were successfully prepared. Within the studied parameters, the properties of crosslinked PVC gradually increased with the addition of microcapsules, and its Vicat softening temperature increased from 79.3 °C to 86.2 °C compared with pure PVC. This study shows the possibility for the industrial scale-up of the extrusion process for rigid crosslinked PVC.