This article reports the effect of mould temperature on the mechanical performance and microstructure of self-reinforced high density polyethylene (HDPE) prepared by melt deformation in oscillating stress field. The mechanical properties of HDPE have been improved greatly in oscillating stress field. The Young’s modulus and yield strength of HDPE have been enhanced from its original 1 GPa, 23 MPa into 3.5 GPa, 87 MPa, respectively. Differential scanning calorimetry (d.s.c.) curves of slices taken from self-reinforced HDPE exhibit double-peak melting endotherm depending on their distances from the surface of the sample. The low-temperature peak is attributed to the presence of spherulites, and the high temperature peak to the melting of shish-kebab crystals. The amount of shish-kebab crystals amounts to 20% in the crystalline phase. Wide angle X-ray diffraction (WAXD) measurements show there exists preferred orientation of molecular chains. It is the production of shish-kebab crystals and the orientation of molecular chains that are origins of the great improvement of mechanical behaviour of HDPE prepared in oscillating stress field.