The present study describes a method to fabricate polymer matrix nanocomposites by reinforcing multi-walled carbon nanotubes through an extrusion process. Linear low density polyethylene (LLDPE) powder and multi-walled carbon nanotubes (CNTs) are first dry mixed and extruded in the form of filaments by a single screw extrusion process. After extrusion, the filament is partially cooled by chilled air, dried, and continuously wound in a spool. The filaments are then laid in roving, stacked in a unidirectional fashion, and consolidated in a compression molding machine to come up with laminated composites. Thermo gravimetric analysis (TGA) has been performed to compare the thermal stability of as-fabricated composites with the neat polymer. The TGA result shows that the extruded composites are thermally more stable than their neat counterparts. The crystalline nature of CNTs and of as-fabricated composites were identified by X-ray diffraction (XRD) studies. The XRD results indicate that the nanocomposite materials are more crystalline than the neat systems, and the differential scanning calorimetry studies also confirmed the same trend. The scanning electron microscopy result showed that the sizes of extruded neat and nanophased filaments were about 117 and 73 μm, respectively. Tensile coupons from the consolidated panels were then extracted both in longitudinal (0°) and in transverse (90°) directions and tested in a Minimat Tester. It was found that with the addition of 2% by weight of CNTs in LLDPE, the tensile strength and modulus of the composite has increased by about 34 and 38%, respectively. The (0°) and (90°) coupons have also demonstrated that there are directional effects in the tensile response, which is believed to have been caused by the alignment of CNTs during the extrusion process. It is our understanding that such improvement in properties is because of the increase in crystallinity of the polymer due to CNT infusion, and also due to the alignment of CNTs in the extrusion direction in the nanocomposites. Details of the fabrication procedures, synthesis of composites, and mechanical testing are included in the paper.