Polymer composites based on high density polyethylene (HDPE) and carbon nanofiber (CNF) were fabricated by melt compounding. The dependences of electrical conductivity of HDPE-CNF composites on filler concentration, temperature, and applied electric field were investigated. The results showed that the conductivity of the HDPE-CNF composites follows the scaling law of percolation theory. Increasing temperature caused a sharp increase in the resistivity of HDPE-CNF composites near the melting temperature of HDPE, yielding a positive temperature coefficient (PTC) effect of resistance. The potential mechanisms involved in the PTC effect of such composites were analyzed. An investigation of the effect of electric field on the conductivity of HDPE-CNF composites revealed the presence of tunneling conduction. The tunneling conductivity increased with increasing filler content because of high tunneling frequency, and decreased with rising temperature as a result of gap widening between conducting CNF fillers.