The purpose of the study was to inspect the mechanical and thermal properties of four kinds of core-shell structured bamboo-plastic composites (BPCs). The materials that were used for the fabrication of the BPCs were high density polyethylene (HDPE), bamboo pulp fibers (BPF)/HDPE, nano-CaCO3/HDPE, and white mud (WM)/HDPE. As verified by flexural properties and impact properties, the dispersion of the BPF, nano-CaCO3, and WM in the HDPE matrix was inhomogeneous. The fracture surface of the scanning electron microscope (SEM) images showed that some aggregates existed in the HDPE. Additionally, X-ray diffraction (XRD) was used to corroborate the results. The thermogravimetric analysis (TGA) showed that the samples with the WM/HDPE shell has little effect on the thermal stability. However, the apparent activation energy (Ea) values of the nano-CaCO3/HDPE shell were higher than those of the other samples, which indicated better thermal stability. The thermal stability had no remarkable changes with the addition of the WM and BPF. The differential scanning calorimeter (DSC) curves revealed that the relative crystallinity of the BPCs increased with the addition fillers, which suggested that the fillers can act as nucleating agents.