The photo-oxidation stability is crucial for the materials that are exposed to outdoor application. For polyethylene, it has been investigated thoroughly and the auto-oxidation mechanism has been widely accepted. Nevertheless, the photo-oxidation of polyethylene composites, the most widely used materials, has not attracted enough attention yet. It is well known that the mechanical properties of composites are of great difference to that of matrix polymers, due to the introduction of the fillers and the different interfacial interactions between the matrices and the fillers. Also the oxidation behavior of composites have interesting characteristics owing to the various fillers and interfacial interactions, which always depend on the coupling agents. In the present work, the natural photo-oxidation of high-density polyethylene composites was studied. The results showed that the coupling agent had the most important but different influence on the oxidation stability of the composites, according to the different fillers.