Epoxy composites with high thermal conductivity and high insulating strength are powerful means for enhancing the safety and reliability of power equipment. The high filling of alumina filler can effectively increase the thermal conductivity of the epoxy composite system, but the thermal conductivity and insulating properties of the highly filled alumina/epoxy composite system are coupled with each other, which makes synergistic improvement difficult. Previous studies have shown that the filling particle size of alumina is the key to synergistically regulate the thermal conductivity and insulating properties of epoxy composite systems. In this paper, a synergistic method of thermal conductivity and insulation performance of highly filled epoxy composites based on multi-particle size compounding strategy is proposed. By regulating the compounding ratios of 20 μm, 10 μm and 5 μm alumina fillers, a multidirectional continuous thermal conductivity pathway was constructed within the epoxy resin matrix, and the interfacial defects at the resin/filler interface were reduced by improving the distribution of fillers within the resin matrix. The thermal conductivity of the epoxy composites was also enhanced from 1.55 W/(m·K) before compounding to 1.76 W/(m·K) at the mass ratio of 3:4:2 for 20 μm, 10 μm and 5 μm fillers, which is an increase of 13.5%. The dielectric strength of the composite system was increased by 7.7% to 30.6 kV/mm, compared with that before compounding. This strategy also provides a new research idea for the construction of high-filled alumina epoxy composite system with synergistic multiple properties.