Thermoplastic vulcanizates (TPVs) are a specific group of the so called thermoplastic elastomers. The main characteristic is the existence of a crosslinked rubber phase obtained by dynamic vulcanization in the presence of the thermoplastic matrix. This article studies TPVs based on ground tyre rubber (GTR), high-density polyethylene, and ethylene propylene diene monomer rubber. Vulcanization is performed by a new peroxide developed to resist high temperatures and an standard one. The aim of this study is optimize the formulation in order to include GTR, while maintaining a good balance of properties in the final TPV material. The use of GTR would improve the possibilities of recovering tyre waste. A detailed study regarding the influence of each component in the final mechanical properties has been carried out. The swelling properties, ATR infrared spectroscopy, TGA, and DSC analysis indicated a high degree of crosslink and good adhesion between the matrix and the rubber phase. Morphology of the composites was assessed by scanning electron microscopy. A composite containing a combination of peroxides and 40/30/30 of HDPE, EPDM, and GTR was found to show a good balance of characteristics regarding mechanical properties, crosslinking, and adhesion between phases.