The effect of two extrusion processes (with and without ultrasound applied) in order to optimize the composition of flame retardant systems based on high density polyethylene (HDPE) nanocomposites was studied. Aluminum trihydroxide (ATH) was used as flame retardant additive. The morphological, thermal, flammability, combustion, mechanical and rheological properties of different samples were investigated. The morphological study reveals that the ultrasound assisted process is able to strongly reduce the size of ATH particles and improve their dispersion and distribution within the polymer matrix. The addition of zinc borate (ZB) at low concentrations (namely 3 phr) renders an optimized flame-retardant compound by reducing the ATH content from 50 to 30 phr. Flame retardant and morphological properties of the systems were evaluated. The results showed that by using ultrasound and the addition of clay particles, the content of flame retardant system is largely diminished as compared to the extrusion without ultrasound to obtain UL94-V0. In this way, it is demonstrated that the use of ultrasonic vibrations during extrusion optimizes the production of flame retardant materials.