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Herein, we investigated the influence of two types of nanoparticle fillers, i.e., amorphous SiO2 and crystalline ZrO2, on the structural properties of their nanocomposites with high-density polyethylene (HDPE). The composite films were prepared by melt-blending with a filler content that varied from 1% to 20% v/v. The composites were characterized by small- and wide-angle x-ray scattering (SAXS and WAXS), small-angle neutron scattering (SANS), Raman spectroscopy, differential scanning calorimetry (DSC), and scanning electron microscopy (SEM). For both fillers, the nanoaggregates were evenly distributed in the polymer matrix and their initial state in the powders determined their surface roughness and fractal character. In the case of the nano-ZrO2 filler, the lamellar thickness and crystallinity degree remain unchanged over a broad range of filler concentrations. SANS and SEM investigation showed poor interfacial adhesion and the presence of voids in the interfacial region. Temperature-programmed SANS investigations showed that at elevated temperatures, these voids become filled due to the flipping motions of polymer chains. The effect was accompanied by a partial aggregation of the filler. For nano-SiO2 filler, the lamellar thickness and the degree of crystallinity increased with increasing the filler loading. SAXS measurements show that the ordering of the lamellae is disrupted even at a filler content of only a few percent. SEM images confirmed good interfacial adhesion and integrity of the SiO2/HDPE composite. This markedly different impact of both fillers on the composite structure is discussed in terms of nanoparticle surface properties and their affinity to the HDPE matrix.