Among several applications, the use of cellulose nanocrystals (CNC) as reinforcement in composite materials with thermoplastic matrix stands out. However, both the conventional method for CNC production and the processes for composite production with non-water-soluble matrix show several drawbacks. The common method for CNC preparation based on the hydrolysis of cellulose with high concentrated sulfuric acid produces sulfated nanocrystals with low thermal stability and generates large amounts of acidic effluents. Although the presence of ionic groups on the surface of the nanocrystals prepared in sulfuric acid increases the stability of their suspensions in water, it promotes the degradation of the CNC in melt processing temperatures of thermoplastic composites, such as extrusion or injection molding. Here we describe the use of high thermal stable cellulose nanocrystal prepared by subcritical water as reinforcement for high density polyethylene (HDPE) using a three step processing: i) solvent exchange in order to produce a suspension of CNC in xylenes, ii) dissolution of HDPE followed by iii) the fast crystallization/gelation/flocculation, leading to the isolation of the composite. This process leads to the production of a well-dispersed nanocomposite with higher thermal stability (higher than 250 °C) and improved mechanical properties. An increase of ~20% in Young's modulus was observed when compared with the neat matrix.