Traditionally, thermosetting wheat gluten based rubbers are produced from a glycerol plasticized gluten rubber precursor which spontaneously crosslinks during high temperature molding. We prepared thermoplastic elastomers by extruding the gluten rubber precursor at high temperature in presence of low density polyethylene (LDPE) to which maleic anhydride grafted LDPE (LDPE-g-MA) was added. At a proper LDPE/LDPE-g-MA ratio the desired phase-separated thermoplastic vulcanisate (TPV) morphology was obtained which consisted of finely dispersed gluten rubber particles, covalently anchored to the thermoplastic matrix. The TPVs with rubber contents up to 70 wt% can be injection molded multiple times without loss of performance. Interestingly, the water absorption of the TPVs is much lower than that of classical gluten rubber materials while the rubber elastic recovery is maintained. The behavior in tensile testing was rationalized in terms of the TPV-typical heterogeneous, plastic deformation mechanism. The low strains at break were related to the presence of contaminants.