Due to excellent chemical resistance and impermeability, high-density polyethylene (HDPE) is widely used in petrochemical transportation, product packaging, sports equipment, and marine applications. Yet, with the wide variety of service environments, its mechanical and thermal properties do not meet the demand. In the present study, a compounding cross-linker comprising di-tert-butyl peroxide (DTBP) and triallyl isocyanurate (TAIC) is employed by combining with a two-step preparation process. High-quality cross-linking reactions are achieved for HDPE. In this study, the cross-linking of DTBP is first examined separately. A peak cross-linking degree of 74.7% is achieved, and there is a large improvement in thermal resistance and mechanical properties. Subsequently, the composite cross-linking system of DTBP and TAIC is investigated. The peak cross-linking degree is 82.1% (10% increase compared to DTBP). The peak heat deformation temperature is 80.1 °C (22% increase compared to DTBP). The peak impact strength is 104.73 kJ/m² (207% increase compared to neat HDPE). The flexural strength is 33.6 MPa (22% increase compared to neat HDPE). The results show that this cross-linking system further improves the cross-linking degree, heat resistance, and mechanical properties of HDPE, indicating its potential application in engineering materials for high performance.