Producing high‐quality graphene and polymer/graphene nanocomposite is facing the problems of complex procedure, low efficiency, and serious resource waste. To explore a new fabrication approach with high efficiency and low cost is crucial for solving these technical issues, which becomes a current research hotspot and also a great challenge. Herein, a one‐step melt mixing strategy based on the synergy of steam explosion and alternating convergent‐divergent flow, is innovatively developed to fabricate high‐density polyethylene (HDPE)/graphene nanocomposites using industrial‐grade expanded graphite (EG) without chemical agents and complex procedures. The co‐action of the external force derived from elongational melts and the internal force generated by steam explosion make EG ultrafastly exfoliate into few‐layer graphene nanosheets (GNS) and simultaneously disperse in melts within 4 min. The as‐produced GNS have a lateral size of over 5 µm and a minimum thickness of 1.4 nm, can introduce super heterogeneous nucleation to HDPE macromolecules and greatly increases nanocomposite crystallinity up to 86.5%. Moreover, plentiful HDPE crystallites and well‐dispersed GNS jointly form an improved thermally‐conductive network, making nanocomposites with a rapid‐respond ability in solar‐to‐thermal conversion and heat dissipation. This facile strategy will facilitate the development of scalable production and wide application of high‐performance graphene and highly‐filled nanocomposites.