The effect of particle size and oxidation degree of new carbon microfillers, based on coal pitch (CP) and petroleum pitch (PET) cokes, on the structure as well as thermal, mechanical, and electrical properties of the composites based on ultrahigh molecular weight polyethylene (UHMWPE) was investigated. The composites studied have a segregated structure of filler particle distribution in the UHMWPE matrix. It was found that composite with smaller CP grain fraction has the highest Young’s modulus and electrical conductivity compared to the other composites studied, which can be the result of a large contribution of flake-shaped particles. Additionally, conductivity of this composite turned out to be similar to composites with well-known carbon nanofillers, such as graphene, carbon black, and CNTs. Additionally, the relationship between electrical conductivity and Young’s modulus values of composites studied was revealed, which indicates that electrical conductivity is very sensitive to the structure of the filler phase in the polymer matrix. In general, it was established that the properties, especially the electrical conductivity, of the composites studied strongly depends on the size, shape, and oxidative treatment of CP and PET filler particles, and that the CP coke of appropriately small particle sizes and flake shape has significant potential as a conductive filler for polymer composites.