Binder systems based on polyethylene (PE) and wax are widely used in Metal Injection Molding (MIM). However, their application raises environmental concerns related to material waste and the possible alteration of binder properties during repeated processing. This study aims to provide a comprehensive understanding of the behavior and properties of PE–wax systems to establish a reference framework for the evaluation and future development of alternative binder formulations. Model PE–wax blends without metallic powder were characterized using differential scanning calorimetry, tensile testing, and X-ray diffraction. The results showed that polymer and wax type influence the mechanical response of the blends, with the HDPE–octadecane formulation exhibiting a lower Young’s modulus than the HDPE–paraffin wax blend at the same wax content. Thermal analysis revealed distinct transitions associated with the polymer and wax components, together with small variations between successive heating and cooling cycles, indicating thermal-history-dependent behavior. Young’s modulus, Poisson’s ratio, thermal conductivity, and density were also predicted using Digimat software. The predicted Young’s modulus values showed good agreement with the experimental tensile results. The results provide a preliminary framework for screening polyethylene–wax binder formulations.