In this paper, the influence of bentonite (BNT) on rheological properties, linear shrinkage, hardness, and structure of polyethylene wax (PE-wax) used in the lost-wax casting process are studied. Experiments were conducted with PE-wax with different contents of bentonite (from 0.1 to 5 wt.%). The structural changes of modified polyethylene wax were evaluated using differential scanning calorimetry (DSC) and scanning electron microscopy (SEM). The addition of bentonite in a concentration range between 0 and 0.8 wt.% into PE-wax caused a decrease of the linear shrinkage and the hardness of PE-wax/BNT blends. Modified polyethylene wax containing greater than 1 wt.% of the filler showed an increase in viscosity. The DSC-based investigations confirmed good miscibility and a uniform structure of PE-wax with BNT. Moreover, an increase in melting temperature onset and its enthalpy observed for filler PE-wax material showed an influence of bentonite on the crystalline structure of the polymeric matrix. SEM observations of the fractured surfaces confirmed the homogeneous structure of blends with contents up to 0.8 wt.% BNT. In the case of higher filler concentrations, the presence of more numerous and large clusters of filler in the polymer matrix was observed due to the increase in the viscosity of the PE-wax/BNT melt composition during mixing. The PE-wax blend with 0.4 wt.% BNT gives better results of reduced linear shrinkage and lower hardness than unmodified material. Lastly, a new developed material (PE-wax/0.4 BNT) was subjected to technological tests, consisting of the preparation of the mold and manufacture of a high-quality aluminum cast, using the lost-wax method.