Multi-walled carbon nanotube (MWNT) composites were fabricated using the screw extrusion and injection technique. The polymer-wrapped MWNTs were dispersed in fumed silicon dioxide with the help of ultrasonic stirring, and then further dispersed in a high density polyethylene (HDPE) matrix by a twin-screw extruder. It was found that there was a critical MWNT concentration around 1.0 wt% where a fine network of MWNT/SiO2 was formed. This gives the MWNT/HDPE composites much improved mechanical properties. From the mechanical property, it was found that the surface treatment of MWNT/SiO2 had a large effect on the performance of the composites. Thermogravimetric analysis (TGA) measurement showed that MWNT could stabilize HDPE when its weight content was greater than 2.0 wt%, whereas silicon dioxide accelerated thermo-oxidation of the composites.