The interface of multi-layer insulation is a relatively weak point in the cable system during the long-term high-temperature service. Space charge is prone to continuously accumulate in the interface area, leading to the deterioration of electrical properties and even insulation failure in advance. The knowledge about thermal oxidation of polyethylene (PE) materials at the molecular level is still urgent to explore. Herein, single-layer and double-layer PE insulation, representing the typical insulation structure of frequency-shift pulse voltage track cables, were prepared and thermally aged in the oven for up to 360 h. Thermal, mechanical, electrical, and space charge characterizations were systematically carried out. Thermogravimetric analyzer and oxidation induced temperature (OIT) measurements confirmed that LDPE’s thermal-oxidative aging temperature range was the lowest among the three PE groups in the O2 atmosphere. After 360 h thermal aging, the tensile property of HDPE material kept relatively stable, while the elongation at break of the other two groups was lower than 50%. Unaged HDPE exhibits apparent charge injection and migration, leading to the severe electric field distortion of 20%. Noticeable charge accumulation can be observed at the unaged double-layer sample interface due to the mismatching of DC conductivity, which play a significant role in the aged double-layer samples. This work utilizes precise thermal analysis to provide new information about the resistance ability of thermal oxidation of LDPE, FPE, and HDPE, and its influence on space charge behaviors, which is helpful for the insulation design and evaluation in cable applications.