High-density polyethylene (HDPE) containing various volume fractions (0–20 vol%) of aluminum nitride nanoparticles (n-AlN) is prepared by melt mixing. Structural and morphological characterizations of the prepared composites are carried out by X-ray diffraction (XRD), high-resolution transmission electron microscopy (HR-TEM), and atomic force microscopy (AFM). Thermal stability and degradation kinetics of HDPE/AlN (nano) composites are investigated by Thermogravimetric analysis (TG). HR-TEM micrographs confirm fairly uniform dispersion of AlN nanoparticles, as well as the existence of long interconnected chain-like aggregates. AFM images also confirm homogeneous dispersion of n-AlN in the polymer matrix. Roughness analysis from the AFM data indicates the presence of substantial undulation from the mean surface level. Thermogravimetric data indicate small improvement in the thermal stability of the composites. Kinetic parameters, viz., the activation energy (Ea), frequency factor (A), and reaction order (n) are estimated using the isoconversional methods of Kissinger, Flynn–Wall–Ozawa (FWO), KAS, and Friedman. Activation energies (Ea) calculated by the above four models display nearly similar features and are enhanced by the presence of AlN nanoparticles. Kinetics of degradation of HDPE-AlN (nano) composites follows a first-order reaction.