Polymer nanocomposites have placed themselves in a highly favorable position in use in practical applications, with materials currently employed in technology related processes. This is because they have improved chemical, physical, morphological, structural, and mechanical properties compared to their polymer microcomposites counterparts or even neat polymer. In this study, two inorganic nanofillers, namely magnesium oxide nanoparticles (MgO NPs) and zinc oxide nanoparticles (ZnO NPs) were separately incorporated into high-density polyethylene (HDPE) by melt blending technique. The ZnO NPs contents in the nanocomposites were set at 1.0, 2.0, 4.0, and 6.0 wt%, while 2.0, 4.0, 6.0, and 8.0 wt % were used by MgO NPs. A comparative study was conducted between different features of the nanocomposites based on their compositions. Such features included mechanical properties, thermal stability, morphological, and structural properties. The as-prepared nanocomposites were proven to be crystalline as confirmed from the XRD. Based on the SEM, both nanofillers were found homogenously dispersed in the HDPE matrix. DSC confirmed that the melting and crystallization behaviors of all nanocomposites were not significantly influenced by the addition of the nanofillers. Tensile tests were performed to determine elastic modulus, tensile stress at yield, tensile stress at break, along with tensile strain at yield values and tensile strain at break. The collected results revealed that loading 2.0 wt% ZnO NPs in the nanocomposites provided elastic modulus up to 237% compared to the pure HDPE. In the case of MgO NPs, as their loading in the nanocomposites reached 4.0 wt%, the elastic modulus increased to 160%. The tensile stress of synthesized nanocomposites increased up to 35.95 ± 2.09 MPa using 2.0 wt% ZnO NPs-filled nanocomposites and up to 28.15 ± 0.91 using 4.0 wt% MgO NPs. Overall, the 2.0 wt% ZnO/HDPE nanocomposite presented better mechanical characteristics in comparison to other tested nanocomposites in this study.