The formation of a shish kebab (SK) structure, where carbon nanotubes (CNTs) serve as shish and polymer lamellae serve as kebab, is particularly interesting and provides a novel way to enhance the polymer-CNT interface. A fine SK structure is achieved through melt spinning. High density polyethylene and pristine CNTs were first compounded in an extruder. The compound was then spun into fibers with different draw ratios with the aid of a capillary rheometer. The crystalline structure and mechanical behavior were characterized by scanning electron microscopy, differential scanning calorimetry, two-dimensional wide-angle X-ray scattering, polarized Raman spectroscopy, and tensile testing. An increase in tensile strength as high as 3 times has been achieved in the fiber. The formation of SKs is considered as the main mechanism responsible for the enhanced interfacial interaction and excellent tensile property.