The objective of this study was to develop polymeric films of high-density polyethylene (HDPE)/low-density polyethylene (LDPE) that comprise 1 wt% of different nanofillers, that is, either nanofibrillated cellulose (NFC), montmorillonite clay (MMT), or graphene nanoplatelets (GNPs); the polymeric films were developed with and without the inclusion of a coupling agent (CA). The results indicated that all the samples that comprised nanofillers exhibited, at least, an increase of 3 to 25°C compared with that of the matrix and demonstrated higher stability at the beginning of the thermal degradation, as verified using TGA. In the DSC analysis of the samples that contained GNPs had highest crystallinity index (55%), having as the consequent improvement in the mechanical properties and in the oxygen permeation. The incorporation of GNPs provided a 127.71% increase in deformation at break and a lower value in oxygen permeability with 50.06 mL.cm.(cm2.s.cmHg)−1, when compared to the polymeric matrix. It was concluded that all the different nanofillers tested promoted distinct improvements in HDPE/LDPE films nanocomposite. It can be inferred that these modifications are related to the chemical composition, size and morphology of each nanofiller. Thereby, it is indicated that with the use of each nanofiller one must be in accordance with the necessary demand of each composite film.