High density polyethylene (HDPE) was compounded with thermally exfoliated graphene oxide (TEGO) by thermokinetic mixing in a short time. High shear rates during the compounding process provided high exfoliation and proper dispersion of graphene layers in the polymer matrix. Different TEGO/polymer ratios were used to get efficient melt mixing. Structural analysis by spectroscopic techniques confirmed the exfoliation of TEGO sheets and the coverage of their surfaces by HDPE chains. Furthermore, homogeneous dispersion of graphene sheets in the matrix led to the enhancement in the mechanical and thermal properties of HPDE-based nanocomposites. Especially stress concentration sites were significantly reduced by preventing the agglomeration and restacking of graphene sheets in the matrix. Therefore, the tensile modulus and strength of HDPE nanocomposite increased about 36.5% and 45.7%, respectively, with the incorporation of 2 wt% TEGO. Microscopy analysis showed the separation of graphene layers in the cross-sectional area of composite specimens. TEGO-reinforced HDPE nanocomposites showed high thermal stability compared to the neat sample.