Composites based on the blends of polyurethane and poly(methyl methacrylate) of various composition were synthesized in situ in the presence of various amounts of nanoparticles (fumed silica). From thermophysical measurements it was found that, during reaction, phase separation and evolution of two phases occur. The temperature transitions in the systems and their positions depend on the blend composition and on various amounts of nanoparticles. Using scanning differential calorimetry from the changing of heat capacity increments the fraction of an intermediate region between two main phases has been estimated. For the first time it was observed that in nanocomposites in the temperature region between two main relaxation transitions, there appears a third transition, which was related to the adsorption layers formed by both components at the interface of the nanoparticles. The appearance of such intermediate regions increases essentially the fraction of an interfacial region in the system.