Cerium N-morpholinomethylphosphonic acid (MMPA-Ce) with fibrous structure was synthesized via hydrothermal reaction between cerium nitrate hexahydrate and N-morpholinomethylphosphonic acid. The thermal stability and flame retardancy of high density polyethylene (HDPE) containing various amounts of MMPA-Ce was investigated by thermal gravimetric analysis and cone calorimeter. It is found that even at low addition of MMPA-Ce into HDPE could increase the thermal stability of HDPE. The results of cone calorimeter showed that the emission of CO decreased while the emission of CO2 increased instead.