The mutual impact of low-quality lignite and high-density polyethylene (HDPE) during open system pyrolysis was investigated, aiming to improve utilization of lignite with simultaneous treatment of HDPE waste. Pyrolysis of lignite, HDPE, and their mixture (mass ratio, 1:1) was performed at temperatures 400, 450, 500, 550, and 600 °C. Initial substrates and pyrolysis products were characterized by thermogravimetric analysis (TGA), gas chromatography–mass spectrometry (GC–MS), specific carbon isotope analysis of individual hydrocarbons (δ13C), Rock-Eval pyrolysis, and elemental analysis. The positive synergetic effect during co-pyrolysis of lignite/HDPE mixture was observed at temperatures ≥450 °C, with the greatest being at 500 °C. The highest yield of liquid co-pyrolysis products with a similar composition to that of crude oils is also noticed at 500 °C. The yields of liquid and gaseous products and quality of pyrolytic products obtained by co-pyrolysis of lignite/HDPE mixture are notably improved compared with pyrolysis of lignite alone. On the other hand, data obtained from pyrolysis of HDPE alone indicate that it cannot be concurrent to well-developed catalytic thermal processes for polymer recycling. However, concerning the huge amount of produced HDPE, at least part of this plastic material can be reused for advanced thermal treatment of lignite, particularly in countries where this low-rank coal represents the main source of energy.