This study investigates the thermal and viscoelastic properties of High‐Density Polyethylene (HDPE) filled with the natural macromolecule, asphaltene, with different loading ratios. The thermal and viscoelastic properties of the composites are studied using DSC, WAXD and other mechanical techniques. The addition of 2.5 wt% asphaltenes presents a slightly higher degree of crystallinity compared to pristine HDPE. The addition of asphaltenes does not seem to alter significantly the mechanical tensile properties of the material, while only the composite with 2.5 wt% found to have improved tensile and yield strength. Specifically, the initial thermal degradation temperature increases by almost 40 °C as it came from TGA measurements where degradation of the composites shifted to higher values. In addition, the thermal degradation activation energy of HDPE and the composites is estimated assuming a first order kinetic model. The activation energy of neat HDPE is estimated to be 287 kJ mol−1, whereas that of the above‐mentioned composites significantly increases. This is another indication that the addition of asphaltenes into HDPE serve as a thermal barrier delaying the kinetics of the thermal degradation of the material. Inclusion of large amount of asphaltenes (i.e., 15%) results in a material presenting thermal degradation similar to pristine HDPE, with lower activation energy. Overall, from this study it comes that the optimum amount of asphaltenes that could be added to HDPE is around 2.5 wt% resulting in the best dispersion in the polymeric matrix, larger crystallite size, higher relative degree of crystallinity, somehow improves mechanical tensile properties and significantly enhances thermal stability.