In this study, composites of high-density polyethylene (HDPE) with mesostructured cellular foam (MCF) silicas have been prepared by melt mixing and studied for the first time. Two different MCF silica analogues having different pore size were used, i.e., 12 nm (MCF-12) and 50 nm (MCF-50). The MCF content in the mesocomposites was 1, 2.5, 5, and 10 mass%. All HDPE/MCF-50 mesocomposites exhibited improved mechanical properties compared with neat HDPE, indicating that the mesocellular silica foam particles with the large mesopore size can act as efficient reinforcing agents. On the other hand, the MCF-12 silica with the smaller size mesopores induced inferior mechanical properties, mainly due to the poorer dispersion of the silica particles and the formation of large aggregates. The mesocellular silica foam particles also affected the thermal properties and the crystallization characteristics of HDPE. Crystallization of mesocomposites was faster than that of neat HDPE. Crystallization kinetics was analyzed with the Avrami equation for both isothermal and non-isothermal conditions. For isothermal crystallization, the Avrami exponent increased with increasing crystallization temperature from 2 to 3. In non-isothermal crystallization, the values of the Avrami exponent increased from 3 to 6.3 with decreasing cooling rate. Lower activation energy values of non-isothermal crystallization were calculated using the isoconversional method of Friedman, as well as using the Kissinger’s equation. Finally, the nucleation efficiency of the mesocellular silica foam particles was estimated from data associated with non-isothermal crystallization, according to the method of Dobreva.