The calorimetric characteristics, the flammability, the thermal stability and the microhardness of polyethylene high density/clay nanocomposites (HDPE/clay) have been studied by differential scanning calorimetry, thermogravimetry, determination of limiting oxygen index and microhardness tests. The nanocomposites have been compatibilized by ethylene–acrylic acid copolymer (EAA), acrylic acid grafted HDPE (HDAA) and maleic anhydride grafted HDPE (HDMA). The clay was montmorillonite Cloisite 15A. The influence of the presence and the type of the compatibilizers on the properties of the nanocomposites has been evaluated. The results have shown that the thermal stability, the reduction of the flammability and the microhardness of HDPE/clay nanocomposites, compatibilized by HDAA and HDMA are higher than those for nanocomposite compatibilized by EAA. Moreover, the presence and the type of compatibilizer have negligible effect on the characteristics of the HDPE phase transitions. These results have been interpreted by the better clay dispersion and higher level of clay exfoliation in the presence of compatibilizers HDAA and HDMA, than those in the presence of EAA compatibilizer.