Jute fiber-reinforced chemically functionalized polyethylene high density (JF/CF-HDPE) composites have been processed, by Palsule process without using any compatibilizer and without any fiber modification, by using chemically functionalized maleic anhydride grafted polyethylene (MAPE) as matrix, in place of polyethylene. Fiber/matrix interfacial adhesion generated in situ, due to interactions between jute fiber and the maleic anhydride of the CF-HDPE matrix, has been established by Fourier transform infrared spectroscopy and scanning electron microscope micrographs. Mechanical properties of the JF/CF-HDPE composites developed with in situ fiber/matrix interfacial adhesion in this study have been found to be higher than those of the CF-HDPE matrix and increase with increasing amounts of jute fibers in the JF/CF-HDPE composites, and are better than properties of literature reported and laboratory processed jute fiber/polyethylene composites with and without MAPE compatibilizer. Measured tensile modulus of JF/CF-HDPE composites compares well with values predicted by rule of mixtures, inverse rule of mixture, Hrisch Model, Halpin-Tsai equations, Nielsen equations, and with Palsule equation. The feasibility of developing natural fiber/maleic anhydride grafted polyolefin composites by Palsule process without using any compatibilizer and without any fiber treatment is demonstrated.