Polypropylene and polypropylene grafted maleic anhydride based composites with modified and non-modified carbon nanotubes and sepiolite were prepared by melt extrusion. Their thermal, rheological, and dynamic mechanical properties were evaluated. Multifilament yarns were obtained from the composites by spin-drawing process and their mechanical properties were measured. Knitted fabrics from the multifilament yarns were characterized by cone calorimetry. The best interaction was obtained for polypropylene/carbon nanotubes and polypropylene/polypropylene grafted maleic anhydride/sepiolite composites, as was confirmed by the increasing on the elastic modulus and thermal resistance. Nanofillers changed the thermal decomposition profiles compared to bare polypropylene. Knitted structures containing sepiolite decrease the maximum of heat release rate in comparison with unfilled samples.