A work was carried out in order to obtain a TPV based on HDPE and EPDM, studying the effect of three different peroxides. The effect of one mono- and two bifunctional peroxides was studied. In general, at equal wt% of peroxide, the bifunctional peroxides produced greater gel content, higher tensile stress, and higher elongation at break. Thereafter, the work was focused on studying the effect of this TPV, as well as a commercial TPO, on the tensile and flame retardant properties of composites based on blends of HDPE and a thermoplastic elastomer (either TPV or TPO), plus 130 phr of magnesium hydroxide (MH). The composites without the rubbery phase, but with 130 phr of MH, were highly brittle and fragile. The composites with the rubbery phase, on the other hand, (either TPO or TPV), were tougher and presented relatively much higher tensile properties. With regard to flame retardancy, the formulations containing the TPV showed better flame retardancy and passed as V-1 in the UL-94V. With respect to the cone calorimeter, those with TPO or TPV all generated a total of 80 MJ of heat energy. The compositions with TPV, however, generated this amount of heat over a larger period of time, i.e., showing less heat generated per second. In addition, the compositions with TPV presented a markedly lower pHRR, by an average of 15%. Thermogravimetric analysis (TGA) showed that the MH in the samples with a 40 wt% rubbery phase starts decomposing at 315°C. However, as the temperature increases, the MH in the TPV composite apparently decomposes at a slower rate than that in the TPO composite.