Natural fiber plastic composites were made from Nigerian grown bamboo (Bambusa vulgaris) and high density polyethylene (HDPE) by extrusion and evaluated for strength, sorption and thermal properties. Composites were manufactured using two different screened bamboo particle size fractions (<2 mm and < 0.5 mm). The composites were tested for flexural properties, water sorption, melt flow and thermal properties. The melt viscosities at 190oC were 22.3 ± 0.91 kPa·s (<2 mm) and 27.4 ± 1.2 kPa·s (<0.5 mm). The results obtained indicated that the composites made with the smaller particle size fraction had higher flexural strength (37.4 ± 1.0 MPa) and modulus of elasticity (2.0 ± 0.2 GPa) than those made with the larger particle size fraction (29.9 ± 1.1 MPa and 1.7 ± 0.1 GPa). Dynamic mechanical analysis (DMA) also showed higher dynamic storage modulus for the <0.5 mm particle-based composites than those made from the <2 mm particle size fraction  due to higher density and better interfacial interaction between the fiber and matrix. Also, the composites made with the smaller particles and were more dimensionally stable (water absorption of 5.4% versus 18.5% at 61 d). The bamboo composites had thermal stablility range of 265 – 279oC (onset degradation temperature). The composites made with the smaller bamboo particles possessed the better properties in comparison with those made from the <2 mm.  Particle size and density significantly affected the mechanical, physical, thermal and rheological properties of the composites evaluated.