High‐density polyethylene coated multiwalled carbon nanotubes (c‐MWNTs) and multiwalled carbon nanotubes (MWNTs) have been dispersed into an ethylene vinyl acetate (EVA) copolymer by mechanical kneading. The effect of c‐MWNTs on tensile properties, thermo‐oxidative degradation, and fire behavior has been studied in comparison with virgin EVA and EVA/MWNTs nanocomposites. Due to the better dispersion of the coated nanotubes, the incorporation of 3 wt % of c‐MWNTs leads to an increase of the Young's modulus, the cohesion of the combustion residues, and a decrease of the peak heat‐release rate.