To completely establish the processing-structure-property relationships of polymer composites such as Carbon Nanofibers (CNFs) in high-impact polystyrene, it is necessary to understand the effects of different processes and processing conditions on the properties of the composites. In this work, using thermogravimetric analysis, the effects of solvent processing and twin-screw extrusion on the weight loss rates and the corresponding temperatures were studied. While there were only marginal effects of the CNF concentration, the type of processing significantly affected the thermo-oxidative behavior. Extrusion resulted in composites that had better thermal stability compared to the solvent processed ones. Furthermore, higher shear rates in extrusion also led to composites with higher thermal stability. This has important implications in choosing the appropriate process and processing conditions for producing polymer-CNF composites. It was also demonstrated that thermogravimetric analysis can provide a means of characterizing the degree of dispersion resulting from the processing of the composites that complements conventional microscopy techniques.