Industrial plastics have seen considerable progress recently, particularly in manufacturing non-lethal projectile holders for shock absorption. In this work, a variety of percentages of alumina (Al₂O₃) and carbon black (CB) were incorporated into high-density polyethylene (HDPE) to investigate the additive material effect on the consistency of HDPE projectile holders. The final product with the desired properties was controlled via physical, thermal, and mechanical analysis. Our research focuses on nanocomposites with a semicrystalline HDPE matrix strengthened among various nanocomposites. In the presence of compatibility, mixtures of variable compositions from 0 to 3% by weight were prepared. The reinforcement used was verified by X-ray diffraction (XRD) characterization, and thermogravimetric analysis (TGA) and differential scanning calorimetry (DSC) were used for thermal property investigation. Alumina particles increased the composites’ thermal system and glass transition temperature. Mechanical experiments indicate that incorporating alumina into the matrix diminishes impact resistance while augmenting static rupture stress. Scanning electron microscopy (SEM) revealed a consistent load distribution. Ultimately, we will conduct a statistical analysis to compare the experimental outcomes and translate them into mathematical answers that elucidate the impact of filler materials on the HDPE matrix.