In this study, 5, 10, and 15 wt% ulexite (NaCaB5O6(ΟH)6·5H2O, hydrated sodium calcium borate hydroxide) and 15 wt %Bi2O3 filled high density polyethylene (HDPE) composite materials were fabricated through conventional melt-extrusion processing techniques in the form of a layered structure in order to absorb both neutron radiations and the secondary radiations resulting from neutron induced reactions. In the layered structure, HDPE was used to slow down neutrons, while ulexite and Bi2O3 were used to capture thermal neutrons and secondary gamma radiations, respectively. The properties of ulexite/HDPE and Bi2O3/HDPE composites were investigated through scanning electron microscopy (SEM), X-ray diffraction (XRD), thermogravimetric analysis (TGA). The mechanical properties (tensile and hardness) of composite materials were also investigated. The results showed that the addition of ulexite and Bi2O3 particles does not change the thermal and mechanical properties of the HDPE composites significantly. Total macroscopic cross-section of the composites was determined using a 239Pu–Be (α,n) neutron source, while their linear and mass attenuation coefficients were determined using a137Cs gamma-ray source. The results show that ulexite filled HDPE composites enhance neutron shielding property and Bi2O3 filled HDPE composites provide good shielding performance for gamma rays.