A method for producing a thermoplastic elastomer composition, the method including the step of dynamically cross-linking a highly saturated nitrile rubber in the presence of a polyamide-based polymer and a polyamine cross-linking agent. The highly saturated nitrile rubber contains an α,β-ethylenically unsaturated nitrile monomer unit and an α,β-ethylenically unsaturated dicarboxylic acid monoester monomer unit and has an iodine value of 120 or less.