Nanocomposites with high density polyethylene (HDPE)/nanoclay/bamboo flour were fabricated by melt compounding. Their thermal behaviors and degradation kinetics of the composites with different clay contents were characterized through dynamic and isothermal Thermogravimetric (TG) analysis. It was found that the use of nanoclay improved the thermal stability of the composites. The nanolayers could act as a barrier for the degradation of HDPE/bamboo hybrids. The addition of compatibilizer also improved the thermal stability of HDPE/bamboo composites, but the effect was less significant than clay. It seems that there is no much difference in the thermal behaviors between HDPE/nanoclay/bamboo systems with and without the addition of compatibilizer. The activation energy values varied very little for different clay contents in the composites. Thermal decomposition process of HDPE/bamboo composites with various clay additions had similar TG curves.