Nanoclay (NC) reinforced high‐density polyethylene (HDPE) composites were prepared by different melt compounding methods using (1) a single screw extruder (SSE), (2) twin screw extruder (TSE), (3) a combination of SSE and extensional flow mixer (EFM), and (4) a bowl mixer masterbatch method (MB). PE‐grafted maleic anhydride (PE‐g‐MA) was used as a compatibilizer. EFM increased complex melt viscosity (η*) of the HDPE/NC composites as compared to the neat HDPE and also provided a better interaction between HDPE and NC to create slightly lower melt η* as compared to MB and PE‐g‐MA composites. The low viscosity melt behavior of the pure HDPE changes to more solid like melt behavior in the PE‐g‐MA HDPE/NC composites in the low frequency (ω) region. PE‐g‐MA + EFM method exhibited better impact strength compared to the other HDPE/NC composites. Using the PE‐g‐MA and masterbatch compounding methods had a beneficial role in improving mechanical properties. POLYM. ENG. SCI., 57:324–334, 2017. © 2016 Society of Plastics Engineers