Polyethylene (PE) membrane has been extensively used in microtransport areas due to its high porosity, chemical stability, and easy processability. However, pure PE membrane shows poor thermomechanical properties. In this paper, silicon dioxide (SiO₂) was used to composite PE membrane in nanogel format. The morphology of the combination and surface layer was demonstrated by scanning electron microscopy (SEM) and atomic force microscopy (AFM). The SiO₂ gel on membrane was analyzed by Fourier transform infrared (FTIR), energy-dispersive X-ray spectroscopy (EDX), and X-ray diffraction (XRD). The effect of the SiO₂ gel on the thermomechanical properties of PE membrane was investigated in terms of thermal shrinkage, thermogravimetric analysis (TGA), and dynamic mechanical analysis (DMA). The results showed that the SiO₂ gel effectively reduced the thermal shrinkage of PE membrane by 47.25% without increased crystallinity, and the coating layer slowed down the decomposed speed of PE membrane at melting point. Comparison tests showed that SiO₂ gel enlarged the storage modulus and Young’s modulus of PE membrane. Tensile test revealed that the maximum load on pure PE and PE composite membranes at the yield point were both decreased with the increased temperature.