Poly(dibutyl itaconate-co-isoprene-co-methacrylic acid) (PDIM)/halloysite nanotubes (HNTs) nanocomposites with strong interfacial interaction were prepared by co-coagulation of PDIM latex and HNTs aqueous suspension, followed by mechanical kneading with rubber additives. The interfacial interaction, thermal properties, morphology, and mechanical properties of the nanocomposites were investigated. The hydrogen bonds were confirmed in the nanocomposites. Morphology investigation showed uniform and individual dispersion of HNTs in the PDIM matrix. With the incorporation of HNTs into the PDIM matrix, the tensile strength and the fracture energy were significantly improved without sacrificing the extensibility. The improved mechanical properties were correlated to the co-coagulation and the strong hydrogen bonds. Especially, the morphology investigation of tensile fracture surfaces revealed a mechanism for the improved mechanical performance, in which the stress was efficiently transferred from PDIM to HNTs via hydrogen bonds and then the dissociation of the hydrogen bonds dissipated energy to increase the fracture energy of the nanocomposites.