In this article, the MgO imporous fibers, MgO porous fibers and hydrofluoric acid (HF) modified MgO porous fibers were researched as the electrolyte binders in Li–Si/LiCl–KCl/FeS2 thermal batteries respectively. The results show that the wettability between the LiCl–KCl molten salt and the MgO fiber binders increases significantly in order of MgO porous fibers and HF modified MgO porous fibers. The separator pellet using the MgO porous fiber modified by 40 mol% (of the MgO fiber) HF solution as the electrolyte binder exhibits an extremely small amount of electrolyte leakages (19.6 mg cm−2) and the highest ionic conductivity (0.66 S cm−1 at 450 °C). Meanwhile, the corresponding thermal battery shows the largest discharge capacity (425 mA h g−1 at 1.0 V voltage plateau). Moreover, the effect of HF modification on the ion migration was analyzed based on the analysis of element diffusion and the formed MgF2 phase. In summary, modification of MgO porous fiber binder by HF solution is a potential way to improve the performance of thermal batteries.