The effect of water absorption on the dielectric response of polyethylene/hexagonal boron nitride nanocomposites has been studied by dielectric spectroscopy. The nanocomposites have been prepared with hBN concentrations ranging from 2 wt% to 30 wt%. Fourier transform infrared spectroscopy and thermogravimetric analysis revealed a very small amount of hydroxyl groups on the surface of hBN. Mass loss measurements showed that the nanocomposites did not absorb any water under ambient and dry conditions while there was some water absorption under wet conditions. The dielectric spectroscopy results showed a broad relaxation peak, indicative of different states of water with water shells of different thickness, which moved to higher frequencies with increasing water content. However, the dielectric losses were significantly lower than the losses reported in the literature of nanocomposites under wet conditions. In addition, all the absorbed water was successfully removed under vacuum conditions which demonstrated that the interactions between the water and the nanocomposites were very weak, due to the hydrophobic nature of the hBN surface. This is a highly useful property, when considering these materials for applications in electrical insulation.