Clay-polymer nanocomposites have considerable importance in various areas of engineering; however, the addition of hydrophilic clays into hydrophobic polymer matrices is a challenge due to the low affinity between them, causing performance problems. Thus, the aim of this work was developing a method to improve dispersion and generate a high aligned morphology in clay-polymer nanocomposites. For this, clay nanoparticles with magnetic properties were produced and incorporated (3 wt% and 5 wt%) in low-density polyethylene matrices. The effect of the alignment on the thermal and thermo-mechanical properties of polymer was evaluated. The use of an external magnetic field during the molding process led to an efficient alignment of the nanoparticles, where the magnetic clay nanoparticles lined up along the magnetic field lines. The presence of nanoparticles had a crucial impact on the thermal properties of the nanocomposites with increments up to 40 °C in the initial degradation temperature of the polymeric matrix by forming physical barriers distributed across the samples. The alignment of nanoparticles also resulted in increments of up to 43% in the storage modulus of the polymer as a result of improved adsorption of mechanical energy. The results indicated a very promising methodology with potential application in the production of new polymeric materials with high barrier properties to liquids and gases and thin films with magnetic shielding properties.