Nanocomposites of the organically modified clay Cloisite® 15A (CL15A) dispersed in HDPE‐g‐MA were prepared by melt‐compounding. Microcomposites of the same clay with HDPE were also obtained with similar procedures. The spherulitic morphology of the polymer matrix was evidenced by optical microscopy in thin films, whereas the structure of the up to 2‐mm–thick, compression‐molded samples was investigated by WAXD and SAXS. Preferred orientation of both the clay and the HDPE crystallites were evidenced in the microcomposites and, to a greater extent, in nanocomposites, whereas in HDPE and HDPE‐g‐MA control specimens hardly any anisotropy was detected. The degree of orientation of PE crystals increases with CL15A concentration, but also with clay exfoliation, with lower cooling rates and decreasing sample thickness. The orientation of the clay platelets parallel to the compression‐molded surface appears to be determined by the platelets anisotropy and by shear in the mixing and the compression‐molding procedures. In turn, it determines the preferred uniaxial orientation of HDPE crystals, which have their crystallographic a axis orthogonal, while b and c are coplanar, to the sample surface, as already reported in the literature for melt‐crystallized HDPE films with thickness below 0.3 μm. It is proposed that the HDPE orientation results from confined crystallization between parallel clay platelets which are on average less than 0.1 μm apart. Simple models, qualitatively accounting for the observed orientation of HDPE, are discussed. Organized architectures resulting from confined crystallization of the polymer matrix in nanocomposites with appropriate anisotropic fillers may be a general feature, important in determining key properties of these systems.