Thermal analysis was performed to evaluate the impact of the addition of oil shale ash (OSA) to high-density polyethylene (HDPE) polymer matrix using differential scanning calorimetry (DSC) and thermo-gravimetric analysis (TGA). Extrusion and press molding processes were used to compound the OSA-filled HDPE polymer composites containing 0, 5, 15 and 25 wt% OSA, for which the thermal properties and the characteristics of the composites were studied. Investigation of the thermal properties of the OSA-HDPE composite is necessary for selecting processing conditions and the appropriate application field. The DSC results demonstrated that OSA addition only marginally affected the glass transition temperature Tg of the composite formulations. The melting temperature Tm showed a decreasing trend with increased OSA fraction, while the crystallization temperature Tcryst showed an increasing trend. The heat of fusion ∆Hm, the heat of crystallization ∆Hcryst and the percentage of crystallinity decreased on the addition of OSA filler. The TGA results demonstrated that the thermal stability of the polymer composite matches that of the neat polymer behavior up to 350 °C after which the thermal stability of the filled polymer composite increases with increased filler content. Above 360 °C, the weight loss of the neat polymer as well as of the polymer composite is accelerated up to 480 °C where all tested samples become fully degraded.