Windmill palm fiber (WPF) obtained from the leaf sheath was treated by steam explosion under the pressure of 2.0 MPa for 120 s to modify and improve the properties of the panels manufactured with it. For comparison, an alkali treatment and acid treatment have also been used to treat WPF. Fiber analysis, scanning electron microscopy (SEM) observation, Fourier transform infrared spectroscopy (FTIR) and chemical composition analysis showed that after the steam explosion treatment: (1) the length, width and fine elements of the windmill palm fibrils were more influenced by the steam explosion treatment than by the other two treatments. (2) A great number of spinulose spherical silica bodies and waxy layers were observed on the surfaces of all the fibers except for the steam explosion treated windmill palm fiber (SEWPF) surfaces, and (3) the cellulose fraction correspondingly increased with the decrease of the hemicelluloses and lignin contents. Finally, the SEWPFs were used to produce fiberboards, and the modulus of rupture (MOR), internal bond (IB), water absorption (WA) and thickness swell (TS) of the fiberboards were measured. The results showed that the WA and TS of the fiberboards made of SEWPF decreased 22 and 32%, respectively, in relation to those made of WPF, whereas the IB increased 46%. It is suggested that steam explosion can be a feasible approach to modify WPF and expand its uses.