Thermally induced phase separation technique has been widely applied to produce various commercial high-density polyethylene (HDPE) membranes based on the HDPE/diluent system. In this work, the crystallization behavior and morphological evolution of HDPE/liquid paraffin (LP) blends were systematically investigated by differential scanning calorimetry (DSC), dynamic thermomechanical analysis (DMA), two-dimensional small-angle X-ray scattering (2D-SAXS) and scanning electron microscope (SEM). It is found that the chain mobility of HDPE is promoted and the entanglement density reduces with the introduction of diluent LP. When the LP content is lower than 40%, the liquid diluent distributes randomly in HDPE melt, while as the LP content exceeds 40%, the diluent saturates the inter-molecular space of HDPE, resulting in the full growth of lateral lamellar dimension of PE crystal. On the other hand, the morphologies of HDPE/LP films change considerably with the diluent content. (1) LP content <20%: diluent lives directly in the inter-lamellar region; (2) 20% ≤ LP content ≤40%: diluent will be excluded into the inter-cluster region and leads to the formation of separated LP domains between PE clusters. (3) LP content >40%: diluent will be aggregated between the stacked clusters to create numerous interconnected LP domains which act as the pathways for the gas or liquid permeation after the removal of LP. Accordingly, we provide a new guidance for the condensed structure controlling and the development of PE membranes with diverse functionalities.