This paper describes the effects of α-Al2O3 nanosheets on the direct current voltage breakdown strength and space charge accumulation in crosslinked polyethylene/α-Al2O3 nanocomposites. The α-Al2O3 nanosheets with a uniform size and high aspect ratio were synthesized, surface-modified, and characterized. The α-Al2O3 nanosheets were uniformly distributed into a crosslinked polyethylene matrix by mechanical blending and hot-press crosslinking. Direct current breakdown testing, electrical conductivity tests, and measurements of space charge indicated that the addition of α-Al2O3 nanosheets introduced a large number of deep traps, blocked the charge injection, and decreased the charge carrier mobility, thereby significantly reducing the conductivity (from 3.25 × 10−13 S/m to 1.04 × 10−13 S/m), improving the direct current breakdown strength (from 220 to 320 kV/mm) and suppressing the space charge accumulation in the crosslinked polyethylene matrix. Besides, the results of direct current breakdown testing and electrical conductivity tests also showed that the surface modification of α-Al2O3 nanosheets effectively improved the direct current breakdown strength and reduced the conductivity of crosslinked polyethylene/α-Al2O3 nanocomposites.