Additive manufacturing, civil, and biomechanical applications are among the most important sectors, where the filler’s presence can significantly improve the quality of polymeric products blends. The high market demand of new low-cost material to be used as shock absorbers and mechanical joints arouses our curiosity to study a relatively common commercial polymer and filler. The possible improvement by blending high-density polyethylene (HDPE) and graphite was investigated for these sectors. To achieve this objective, we have prepared HDPE/graphite nanocomposites following mechanical treatment to understand which parameter provides the researched properties. As widely reported in the literature, milling treatment leads to the decrease of the particle size and the exfoliation of graphitic layers. Therefore, graphite has been previously treated with a ball mill for different times (1–16 h) to enhance its lubricating action. We checked an improvement in stiffness, yielding strength, thermal stability, and, in particularly, wear resistance that increased by 65% with respect to that of polyethylene (PE). A treatment time of eight hours in ball milling could be enough to give an appreciable improvement. The wear behavior of HDPE with treated graphite has not been deeply investigated so far, and it could be important because HDPE is considered a “carrier polymer” for different low-friction applications.