An extensional flow mixture (EFM) system was studied, with the goal of achieving better distributive and dispersive mixing. The effects of different mixing strategies (masterbatch method (MB), polyethylene-grafted maleic anhydride (PE-g-MA) as a compatibilizer, and compounding devices, such as a single screw extruder (SSE), a twin screw extruder (TSE), and an extensional flow mixer (EFM)) on the mechanical, thermal, rheological, and morphological properties of ultrafine cellulose (UFC)-filled high-density polyethylene (HDPE) composites were investigated. Maximum tensile strength (17.7 MPa), tensile modulus (0.88 GPa), flexural strength (18.8 MPa), and flexural modulus (0.63 GPa) were obtained from the MB compounding method. The maximum stress-strain (13.8%) was obtained with EFM compounding. Polymer composites from SSE and SSE/EFM compounding methods with PE-g-MA exhibited slightly higher crystallinity compared with other compounding methods. The storage modulus of the samples prepared with the MB method was higher than those prepared with the SSE compounding method. The UFC-filled HDPE composites from the EFM compounding process exhibited lower melt viscosities than the other composites at high shear rates. Scanning electron microscopy (SEM) images showed the cellulose to be distributed and dispersed reasonably well in the HDPE matrix when using a coupling agent in combination with the MB and EFM compounding methods.