In recent years, polyurethane nanocomposites have attracted more attention due to the massive demand for materials with increasingly exceptional mechanical, optical, electrical, and thermal properties. As nanofillers have a high surface area, the interaction between the nanofiller and the polymer matrix is an essential issue for these materials. The main aim of this study is to validate the impact of the montmorillonite nanofiller (MMT) surface structure on the properties of polyurethane thin-film nanocomposites. Despite the interest in polyurethane-montmorillonite clay nanocomposites, only a few studies have explored the impact of montmorillonite surface modification on polyurethane's material properties. For this reason, four types of polyurethane nanocomposites with up to 3% content of MMT were manufactured using the prepolymer method. The impact of montmorillonites on nanocomposites properties was tested by thermogravimetric analysis (TGA), dynamic mechanical analysis (DMA), contact angle measurement, X-ray diffraction (XRD), and optical coherence tomography (OCT). The results showed that chemical and physical interactions between the polymer matrix and functional groups on the montmorillonite surface have a considerable impact on the final properties of the materials. It was noticed that the addition of MMT changed the thermal decomposition process, increased T2% by at least 14 °C, changed the hydrophilicity of the materials, and increased the glass transition temperature. These findings have underlined the importance of montmorillonite surface structure and interactions between nanocomposite phases for the final properties of nanocomposites.