We report a facile coagglomeration method for preparing graphene (G)/MgCl2-supported Ti-based Ziegler-Natta catalysts. The effects of graphene feed ratio on catalyst morphology and ethylene polymerization behavior were examined. The synthesized catalyst exhibited very high activity for ethylene polymerization. The resultant polyethylene (PE)/G nanocomposites showed a layered morphology, and the graphene fillers were well dispersed in the PE matrix. In addition, the thermal stability and mechanical properties of PE were significantly enhanced with the introduction of a very small amount of G fillers (0.05 wt%). This work provides a facile approach to the production of high-performance PE.