Recently, polymer composites reinforced with low fractions of thermomiotic nanoceramics have triggered a lot of research. The efforts have been focused on achieving considerable reduction of the coefficient of thermal expansion (CTE) of polymeric materials without deterioration of other physical properties. In this context, polyethylene (PE) composites reinforced with different loads of Al₂Mo₃O₁₂ nanofillers (0.5–4 mass %) were fabricated by micro-compounding. To enhance the interfacial interaction between the two components, chemical functionalization of Al₂Mo₃O₁₂ was performed with vinyltrimethoxysilane (VTMS) prior to micro-compounding. Infrared spectroscopy and thermogravimetry demonstrated the successful grafting of VTMS on the Al₂Mo₃O₁₂ surface. The composites showed strongly decreased CTEs, up to 46 % reduction for loadings of 4 mass % compared with neat PE, suggesting intimate filler–matrix interactions. The variation of CTEs of the composites in terms of the filler fraction was successfully described by Turner’s model allowing calculation of the bulk modulus of monoclinic Al₂Mo₃O₁₂ (13.6 ± 2.6 GPa), in agreement with the value obtained by an ultrasonic method. The thermal stability of the composites was improved, although the addition of functionalized fillers decreased the degree of crystallinity of the PE to a small extent. The Young’s modulus and yield strength of the composites increased from 6.6 to 19.1 % and 4.0–6.0 %, respectively, supporting the existence of strong filler–matrix interactions, contributing to an efficient load transfer. Finite element analysis of thermal stresses indicated absence of plastic deformation of the matrix or fracture of the nanofillers, for a 100 K temperature drop.