In this work, the improved self-healing of cross-linked polyethylene (PE) (cPE)/carbon black (CB) nanocomposites by their shape memory effect (SME) is investigated. CB nanoparticles are found to be homogeneously dispersed in the PE matrix and significantly increase the strength of the materials. Compared with the breaking of linear PE (lPE) at the melting temperature (T-m), the cPE and cPE/CB nanocomposites still have high strength above T-m, due to the formation of networks. The cPE and cPE/CB nanocomposites show both high strain fixity ratio (R-f) and high strain recovery ratio (Re). Crystallization-induced elongation is observed for all the prepared shape memory polymer (SMP) materials and the effect becomes less remarkable with increasing volume fraction of CB nanoparticles (v(CB)). The scratch self-healing tests show that the cross-linking of PE matrix, the addition of CB nanoparticles, and the previous stretching in the direction perpendicular to the scratch favor the closure of the scratch and its complete healing. This SME-aided self-healing could have potential applications in diverse fields such as coating and structure materials.