The study of processing characteristic and property optimization of ultra-high-molecular-weight polyethylene (UHMWPE) pipe is increasingly performed, mainly focusing on difficulties in the melting process and poor thermal-mechanical properties after forming, which have limited the wider engineering application of UHMWPE pipe. In this study, organo-montmorillonite (OMMT)-modified UHMWPE pipe with good thermal-mechanical properties was prepared by screw extrusion molding. First, high-density polyethylene was subjected to fluidity modification so that the screw extrusion molding of UHMWPE pipe was feasible. Then, OMMT-modified UHMWPE pipes under different addition amounts of OMMT were innovatively prepared by extrusion. Furthermore, the effects of the addition amounts of the compatibilizer HDPE-g-MAH and the silane coupling agent γ-(2,3-epoxy propoxy) propyl trimethoxy silane (KH560) on the thermal properties of OMMT-modified UHMWPE pipe were investigated for the first time. Compared with those of pure UHMWPE pipe, the Vicat softening temperature (from 128 to 135.2 °C), thermal deformation temperature (from 84.4 to 133.1 °C), bending strength (from 27.3 to 39.8 MPa), and tensile strength (from 20.8 to 25.1 MPa) of OMMT-modified UHMWPE pipe were greatly increased. OMMT-modified UHMWPE pipe with good thermal-mechanical properties was able to be prepared by extrusion for the first time. The compatibilizer method of HDPE-g-MAH was slightly more effective than the coupling agent method of KH560.