Glass fiber (GF) is commonly applied as a filler in the preparation of polymer composites. Due to the presence of GF, composite mechanical performance, flame resistance, and thermal performance could be greatly improved. The influence of a GF-filled polymer shell layer was investigated relative to the morphology, mechanical, thermal, and fire flammability performance of the core-half wrapped shell structured wood high-density polyethylene (HDPE) composites prepared via co-extrusion. The use of the relatively less-stiff pure HDPE with high linear coefficients of thermal expansion (LCTEs) lowered the general thermal stability and modulus of the wood polymer composites (WPCs). Flexural and thermal expansion properties were improved for the GF-filled HDPE shells in comparison to the unmodified material, enabling a well-balanced performance of this novel core–shell material. Implementation of GF-modified HDPE or unmodified HDPE layers as a shell for WPC core remarkably improved the impact resistance of the co-extruded WPCs. In comparison with composites possessing unmodified HDPE shell, the flame resistance performance of the shell layer was slightly improved in case that the GF content was below 25 wt%. A slight decrease in composite general heat release and rate was discovered in case that the GF content was greater than 25 wt%.