Polyethylene/hexagonal boron nitride (PE/h-BN) composite sheets with enhanced thermal conductivity were fabricated through annealing a multilayered structure of alternating high density PE (HDPE)/h-BN composite and low density PE (LDPE) layers. Multilayer sheets possess a relatively low initial content filler, and after thermal annealing at 200 °C, the PE molecules in the composite layers diffused into neighboring layers. As a result, the h-BN concentration in the composite layers increased with the annealing time, resulting in the formation of thermal conduction pathways and enhancement of the final thermal conductivity. When the volume content of h-BN was 5.97 vol.%, the through-plane thermal conductivity of the annealed specimen was 1.37 W m-1K-1, which showed an enhancement of ∼180% compared to the value of the neat composite with the same content of randomly dispersed h-BN. Our work suggests that this facile method is promising for the development of high-performance thermally conductive products.