The influence of nano-silica (nSiO2) and micro-silica (mSiO2) in the shell and wood fiber filler in the core on the thermal expansion behavior of co-extruded wood/polyethylene composites (Co-WPCs) was investigated to optimize the thermal expansion resistance. The cut Co-WPCs samples showed anisotropic thermal expansion, and the thermal expansion strain and linear coefficient of thermal expansion (LCTE) decreased by filling the shell layer with rigid silica, especially nSiO2. Finite element analysis indicated that the polymer-filled shell was mainly responsible for the thermal expansion. The entire Co-WPCs samples exhibited a lower thermal expansion strain than the cut Co-WPCs samples due to protection by the shell. Increasing the wood fiber content in the core significantly decreased the thermal expansion strain and LCTE of the Co-WPCs. The Co-WPCs whose core layer was filled with 70% wood fiber exhibited the greatest anisotropic thermal expansion.