The potential use of plasma modified polyethylene (PPE) as a matrix for natural fibre composite has been studied. Rotational moulding technique was employed for the manufacture of composite. Coconut fibre (coir fibre) was selected as the reinforcement and the effect of chemical treatment on fibre also being studied. In fact, the interfacial interaction between coir fibre and PE was analyzed systematically by creating four different types of interfaces (PE/natural fibre, PE/bleached natural fibre, PPE/natural fibre and PPE/bleached natural fibre). Water absorption, scanning electron microscopy and mechanical measurements were carefully carried out to understand the level of interactions between coir fibre and the polymer matrix. The mechanical properties of the PPE coir fibre composites were compared with unmodified PE coir fibre composites. PPE/bleached coir fibre composite showed lower water absorption due to better fibre/matrix interaction. SEM images revealed that a strong interfacial interaction between natural fibre and polymer matrix is possible with plasma modified PE matrix. Finally, it is very important to add that this is the first attempt to demonstrate that Rotational moulding could be successfully applied to plasma modified PE as the matrix and coir fibre as the reinforcing. This work will open tremendous possibility for the application of Rotational Moulding of natural fiber composites.