High density polyethylene composites with curaua fibres were prepared using an intermeshing co-rotating extruder and two different coupling agents. The thermal stability of the components was studied by thermogravimetric and differential scanning analysis, as well as by the oxidation induction time. Maleic anhydride grafted polyethylene, used as coupling agent, affected the composite stability more markedly than did poly(ethylene-co-vinyl acetate). However, oxidation induction times were analogous for composites with and without coupling agents. Results also indicated that a higher fibre–matrix interaction precludes the crystallinity enhancement caused by the fibre.