The increasing demand for sustainable, multifunctional coatings has driven research toward bio-based additives capable of enhancing thermal stability, durability, and long-term performance while reducing environmental impact. In this work, Kraft lignin was chemically modified with phosphorus (P), nitrogen (N), and combined phosphorus-nitrogen (P-N) elements and evaluated as a multifunctional bio-based additive in high-density polyethylene (HDPE) matrices. The modified lignins were incorporated into HDPE at loadings ranging from 1 to 30 wt% via melt processing, and the resulting materials were systematically characterized with respect to thermal behavior, oxidative stability, flame retardancy, mechanical performance, and surface properties. P- and N-functionalized lignin significantly enhanced char formation and increased the temperature of maximum thermal degradation, indicating improved thermal protection mechanisms. UL-94 vertical burning tests revealed reduced melt dripping and prolonged burning times compared to neat HDPE, confirming the effectiveness of lignin-based additives in mitigating flammability. At low additive loadings (≤5 wt%), the composites maintained or slightly improved mechanical properties, while higher loadings led to a gradual reduction of properties, associated with filler aggregation. Furthermore, the composites exhibited markedly improved antioxidant performance, as evidenced by extended oxidation induction times and enhanced DPPH radical scavenging activity, highlighting their potential for improved aging resistance in protective coatings. Contact angle measurements demonstrated that the incorporation of modified lignin maintained or improved surface hydrophobicity, a key surface property for polymer-based coating applications.