High-density polyethylene (HDPE)-based nanocomposites incorporating three different types of graphene nanoplatelets (GnPs) were fabricated to investigate the size effects of GnPs in terms of both lateral size and thickness on the morphological, thermal, electrical, and mechanical properties. The results show that the inclusion of GnPs enhance the thermal, electrical, and mechanical properties of HDPE-based nanocomposites regardless of GnP size. Nevertheless, the most significant enhancement of the thermal and electrical conductivities and the lowest electrical percolation threshold were achieved with GnPs of a larger lateral size. This could have been attributed to the fact that the GnPs of larger lateral size exhibited a better dispersion in HDPE and formed conductive pathways easily observable in scanning electron microscope (SEM) images. Our results show that the lateral size of GnPs was a more regulating factor for the above-mentioned nanocomposite properties compared to their thickness. For a given lateral size, thinner GnPs showed significantly higher electrical conductivity and a lower percolation threshold than thicker ones. On the other hand, in terms of thermal conductivity, a remarkable amount of enhancement was observed only above a certain filler concentration. The results demonstrate that GnPs with smaller lateral size and larger thickness lead to lower enhancement of the samples' mechanical properties due to poorer dispersion compared to the others. In addition, the size of the GnPs had no considerable effect on the melting and crystallization properties of the HDPE/GnP nanocomposites.