Nanocomposites based on carbon nanofibers (CNFs) and linear medium density polyethylene (LMDPE) were prepared by rotational molding. In particular, a simple dry‐blending process was used to add different CNF contents (0, 0.01, 0.1, and 1.0 wt%). To improve the fiber‐matrix adhesion, the CNF were treated by an oxygen cold plasma and the level of surface modification was analyzed by differential scanning calorimetry (DSC) and X‐ray photoelectron spectroscopy (XPS). From the samples produced a complete set of morphological, mechanical, rheological, and thermal characterization was performed. By following the internal air temperature while rotomolding, it was possible to detect the LMDPE melting and crystallization temperature and the values were confirmed by DSC. On the other hand, the XPS results show that the plasma treatment increased the CNF oxygen content and possibly the surface roughness. In general, the mechanical properties of the nanocomposites were improved by the addition of low CNF content: impact strength (30%), tensile modulus (20%), tensile strength (8%), elongation at break (35%), and toughness (70%).