Changes of thermal diffusivity inside femtosecond laser-structured volumes as small as few percent were reliably determined (with standard deviation less than 1%) with miniaturized sensors. An increase of thermal diffusivity of a crystalline high-density polyethylene (HDPE) inflation films by 10–20% from the measured (1.16 ± 0.01) × 10−7 m2 s−1 value in regions not structured by femtosecond laser pulses is considerably larger than that of non-crystalline polymers, 0–3%. The origin of the change of thermal diffusivity are interplay between the laser induced disordering, voids’ formation, compaction, and changes in molecular orientation. It is shown that laser structuring can be used to modify thermal and optical properties. The birefringence and infrared spectroscopy with thermal imaging of CH2 vibrations are confirming inter-relation between structural, optical, and thermal properties of the laser-structured crystalline HDPE inflation films. Birefringence modulation as high as Δn ± 1 × 10−3 is achieved with grating structures.