Helium-xenon (HeXe)-cooled mobile nuclear reactors have promising potential in future low-carbon energy systems. However, there is currently a lack of fast and reliable tools for analyzing the complicated dynamic characteristics of such systems. In this study, we developed a comprehensive dynamic modeling approach for a HeXe-cooled nuclear power system coupled with a closed Brayton cycle (CBC). The system’s key components, including the reactor, printed circuit heat exchanger (PCHE), and turbomachinery, are lumped-modeled to capture their time-varying behavior. A step-solving algorithm that incorporates HeXe mass conservation iteration is designed. The verification results demonstrate that the dynamic program is robust and reliable, with each time step converging within 25 iterations and the HeXe mass remaining within the range of 3.755 ± 0.01 kg throughout the simulation meeting the law of mass conservation. Then, a 1500 s frozen start-up simulation for the coupled system is conducted, in which the CBC is started in the first 500 s by increasing the main shaft speed to 40% of the rated value, and then the reactor is started by inserting external reactivity between 500 and 800 s. Both the dynamic process and the steady-state performance after the start-up are analyzed. The results show that the system achieved a stable electrical output of 5.7 MWe with a thermal efficiency of 32.5%. This study lays a solid foundation for future work aimed at improving the overall efficiency and performance of HeXe-cooled nuclear power systems.