High-density polyethylene (HDPE) polymer nanocomposites containing Zn2Al-X (X= CO3(2-), NO3(-), Cl(-), SO4(2-)) layered double hydroxide (LDH) nanoparticles with different loadings from 10 to 40 wt % were synthesized using a modified solvent mixing method. Synthesized LDH nanofillers and the corresponding nanocomposites were carefully characterized using X-ray diffraction, scanning electron microscopy, and transmission electron microscopy, etc. The thermal stability and flame retardancy behavior were investigated using a thermo gravimetric analyzer and microscale combustion calorimeter. Comparing to neat HDPE, the thermal stability of nanocomposites was significantly enhanced. With the addition of 15 wt % Zn2Al-Cl LDH, the 50% weight loss temperature was increased by 67 °C. After adding LDHs, the flame retardant performance was significantly improved as well. With 40 wt % of LDH loading, the peak heat release rate was reduced by 24%, 41%, 48%, and 54% for HDPE/Zn2Al-Cl, HDPE/Zn2Al-CO3, HDPE/Zn2Al-NO3, and HDPE/Zn2Al-SO4, respectively. We also noticed that different interlayer anions could result in different rheological properties and the influence on storage and loss moduli follows the order of SO4(2-) > NO3(-) > CO3(2-) > Cl(-). Another important finding of this work is that the influence of anions on flame retardancy follows the exact same order on rheological properties.