Wood polymer composites (WPCs) with core–shell structure reinforced with barite (BA)-filled high-density polyethylene (HDPE) shell layer were successfully fabricated, and their thermal expansion and mechanical properties were thoroughly analyzed. The incorporation of BA improved the flexural properties and reduced the impact strength and linear coefficients of thermal expansion (LCTEs) of the resulting composites, in comparison with unmodified HDPE. The use of relatively rigid pure HDPE with high LCTE values reduced the overall thermal stability and modulus of the WPCs. Both flexural properties and thermal expansion were significantly enhanced for BA-filled HDPE shells compared to the unmodified material. Thus, the novel core–shell layer showed a well-balanced performance. The employment of BA HDPE or unmodified HDPE layers as the shell for the WPC core significantly enhanced the impact strength of the co-extruded WPCs. The tensile modulus for BA-filled composite was predicted by the PPA-based model.